EVIM: a software package for extremel value analysis in MATLAB

MaRDI QIDQ3368280zbMATH OpenFDO

Authors Ramazan Gençay, Faruk Selçuk, Abdurrahman Ulugülyaǧci

Publication date 27 January 2006

Full work available at URL http://www.bepress.com/snde/vol5/iss3/algorithm1

zbMATH Keywords

extreme value theoryrisk managementsoftware

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cited in

(7)

• EVIM
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Invited article by M. Gidea: Extreme events and emergency scales
• Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
• Software for the analysis of extreme events: The current state and future directions
• 3D extreme value analysis for stock return, interest rate and speed of mean reversion
• A software review for extreme value analysis

Describes a project that uses

Uses Software

• Matlab

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