scientific article; zbMATH DE number 1301875

zbMATH Open0922.62107MaRDI QIDQ4247101FDOQ4247101

Maria Kafetzaki, Franco Bassi, Paul Embrechts

Publication date: 17 October 1999

Title of this publication is not available (Why is that?)

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zbMATH Keywords

risk managementquantile estimation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (13)

• BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY
• A generalization of the power law distribution with nonlinear exponent
• Practical implications of higher moments in risk management
• EVT-based estimation of risk capital and convergence of high quantiles
• Extreme Value Theory as a Risk Management Tool
• Regular variation and probability: The early years
• Estimation of stable distributions by indirect inference
• Maximum likelihood estimation of stable Paretian models.
• Counting casualties: A framework for respectful, useful records
• Critical market crashes
• Stochastic Risk Analysis and Management
• Risk Measurement
• The effects of quantized data

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