Measuring value at risk with an extremal process

MaRDI QIDQ1395963zbMATH OpenFDO

Authors Stefano Cabras, Walter Racugno

Publication date 29 June 2003

Published in Metron (Search for Journal in Brave)

Mathematics Subject Classification ID

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Cited in

(6)

• Avoiding zero probability events when computing value at risk contributions
• Measuring risks in the tail: The extreme VaR and its confidence interval
• Return and Value at Risk using the Dirichlet Process
• Intensity-based estimation of extreme loss event probability and value at risk
• Estimating value-at-risk: a point process approach
• An invariance for the large-sample empirical distribution of waiting time between successive extremes

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