An application of extreme value theory for measuring financial risk (Q853582): Difference between revisions

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+Coherent Measures of Risk
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+Residual life time at great age
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+Fitting the Generalized Pareto Distribution to Data
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+An introduction to statistical modeling of extreme values
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+Using a bootstrap method to choose the sample fraction in tail index estimation
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+Exceedances over high thresholds: a guide to threshold selection
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+High volatility, thick tails and extreme value theory in value-at-risk estimation.
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+Sur la distribution limite du terme maximum d'une série aléatoire
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+Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
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+Parameter and Quantile Estimation for the Generalized Pareto Distribution
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+Statistical inference using extreme order statistics
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+The jackknife and bootstrap
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+Publication:853582