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Operational Risk
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Operational Risk (2007)Operational RiskExtreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…From value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …Extreme Value Distributions (2000)Extreme Value DistributionsEstimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)A Practical Guide to Heavy Ta…Modelling Extremal Events (1997)Modelling Extremal EventsThe Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Extreme Value Analysis of Env…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…Residual Life Time at Great Age (1974)Residual Life Time at Great A…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Conditional value-at-risk for general loss distributions (2002)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The t Copula and Related Copulas (2007)Forecast Verification (2011)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)CAViaR (2004)Introductory Econometrics for Finance (2008)Volatility forecast comparison using imperfect volatility proxies (2010)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Empirical properties of asset returns: stylized facts and statistical issues (2001)Maximum-Likelihood Estimation (2017)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Heavy tail modeling and teletraffic data: special invited paper (1997)Tail Index Estimation and an Exponential Regression Model (1999)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)The politics of attention: how government prioritizes problems (2006)Statistical Modeling of Spatial Extremes (2012)
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,388 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2000Extreme Value Distributions1,591 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 1999Loss Models: From Data to Decisions1,247 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1989Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone682 cited
  • 1999A Practical Guide to Heavy Tails: Statistical Techniques and Applications639 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns

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510 cited
  • 1999Extreme Value Theory as a Risk Management Tool465 cited
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