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

DOI10.1239/AAP/1222868182zbMATH Open1149.62314OpenAlexW2084555820MaRDI QIDQ3535649FDOQ3535649

Paul Embrechts, Matthias Degen

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

Recommendations

• Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
• Scaling of high-quantile estimators
• scientific article; zbMATH DE number 1301875
• Semi-parametric probability-weighted moments estimation revisited
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistics of Extremes
• Extreme value theory. An introduction.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimating tails of probability distributions
• Title not available (Why is that?)
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• Heavy-Tail Phenomena
• Title not available (Why is that?)
• Kernel density estimation for heavy-tailed distributions using the champernowne transformation
• High risk scenarios and extremes. A geometric approach
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
• Approximation by penultimate extreme value distributions
• Penultimate approximation for the distribution of the excesses
• Some properties of the tukey g and h family of distributions

Cited In (11)

• Second-order expansions of the risk concentration based on CTE
• Robust quantile estimation under bivariate extreme value models
• Revisiting the Edge, Ten Years On
• 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
• Risk concentration based on expectiles for extreme risks under FGM copula
• PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
• Asymptotics of the risk concentration based on the tail distortion risk measure

Uses Software

• QRM

This page was built for publication: EVT-based estimation of risk capital and convergence of high quantiles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3535649)