Revisiting the Edge, Ten Years On

DOI10.1080/03610920902822670MaRDI QIDQ3585268zbMATH OpenOpenAlexFDO

Authors V. Chavez-Demoulin, Paul Embrechts

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920902822670

zbMATH Keywords

aggregationbanking regulationcopuladependenceextreme value theoryoperational riskquantile estimationvalue-at-risk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Financial applications of other theories (91G80)

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Cites work

• A course in credibility theory and its applications
• A new class of models for bivariate joint tails
• An introduction to statistical modeling of extreme values
• Coherent measures of risk
• EVT-based estimation of risk capital and convergence of high quantiles
• Extremal behavior of regularly varying stochastic processes
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Life distributions. Structure of nonparametric, semiparametric, and parametric families.
• Monte Carlo simulation and finance.
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• Strategic long-term financial risks: single risk factors
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Cited in

(4)

• Discussion: Statistical models and methods for dependence in insurance data
• The dynamics of incentives, productivity, and operational risk
• Hunting for black swans in the European banking sector using extreme value analysis
• scientific article; zbMATH DE number 2197993 (Why is no real title available?)

Describes a project that uses

Uses Software

• QRM
• ismev

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