Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/98332/1/asmb1915.pd
Traditional methods for financial risk measures adopts normal distributions as a pattern of the financ...
Whatever his strategy is, an investor has to know the risk he will deal with in taking a short or lo...
International audienceValue-at-risk, Conditional Tail Expectation, Conditional Value-at-risk and Con...
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT...
This paper develops an unconditional and conditional extreme value approach to calculating value at ...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
This paper develops a new class of dynamic models for forecasting extreme financial risk. This class...
In this thesis the main purpose is to use extreme value theory and time series analysis to find mode...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakista...
In this paper we examine two aspects of extreme events: their calculation and their communication. I...
Year after year stock markets of the world kept on breaking records. They reached new heights and pl...
The catastrophic failures of risk management systems in 2008 bring to the forefront the need for acc...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
We provide an overview of the role of extreme value theory (EVT) in risk man-agement (RM), as a meth...
Traditional methods for financial risk measures adopts normal distributions as a pattern of the financ...
Whatever his strategy is, an investor has to know the risk he will deal with in taking a short or lo...
International audienceValue-at-risk, Conditional Tail Expectation, Conditional Value-at-risk and Con...
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT...
This paper develops an unconditional and conditional extreme value approach to calculating value at ...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
This paper develops a new class of dynamic models for forecasting extreme financial risk. This class...
In this thesis the main purpose is to use extreme value theory and time series analysis to find mode...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakista...
In this paper we examine two aspects of extreme events: their calculation and their communication. I...
Year after year stock markets of the world kept on breaking records. They reached new heights and pl...
The catastrophic failures of risk management systems in 2008 bring to the forefront the need for acc...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
We provide an overview of the role of extreme value theory (EVT) in risk man-agement (RM), as a meth...
Traditional methods for financial risk measures adopts normal distributions as a pattern of the financ...
Whatever his strategy is, an investor has to know the risk he will deal with in taking a short or lo...
International audienceValue-at-risk, Conditional Tail Expectation, Conditional Value-at-risk and Con...
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