Measuring risks in the tail: The extreme VaR and its confidence interval
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Publication:3119654
DOI10.3233/RDA-170128zbMath1409.91283MaRDI QIDQ3119654
Bertrand K. Hassani, Dominique Guégan, Kehan Li
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-170128
regulation; confidence interval; asymptotic theory; stress testing; extreme risk; extreme Value-at-Risk