EVT-based estimation of risk capital and convergence of high quantiles

DOI10.1239/AAP/1222868182MaRDI QIDQ3535649zbMATH OpenOpenAlexFDO

Authors Matthias Degen, Paul Embrechts

Publication date 13 November 2008

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1222868182

zbMATH Keywords

extreme value theorypenultimate approximationpeaks over thresholdvalue at riskslow variationoperational risksecond-order regular variation\(g\)- and -\(h\) distribution

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
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• Heavy-Tail Phenomena
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• Some properties of the tukey g and h family of distributions
• Statistics of Extremes
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Cited in

(12)

• Second-order expansions of the risk concentration based on CTE
• Robust quantile estimation under bivariate extreme value models
• Revisiting the Edge, Ten Years On
• Properties of second-order regular variation and expansions for risk concentration
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Risk concentration and diversification: second-order properties
• New power limits for extremes
• Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
• High level quantile approximations of sums of risks
• Scaling of high-quantile estimators
• Risk concentration based on expectiles for extreme risks under FGM copula
• Asymptotics of the risk concentration based on the tail distortion risk measure

Describes a project that uses

Uses Software

• QRM

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