An application of extreme value theory for measuring financial risk
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Publication:853582
DOI10.1007/S10614-006-9025-7zbMATH Open1153.91498OpenAlexW2078136871MaRDI QIDQ853582FDOQ853582
Authors: Manfred Gilli, Evis këllezi 
Publication date: 17 November 2006
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:111362
Recommendations
maximum likelihood estimationextreme value theorygeneralized extreme value distributionrisk measuresquantile estimationgeneralized pareto distributionprofile likelihood confidence intervals
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Cited In (38)
- Predicting federal funds rate using extreme value theory
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Modelling oil and gas supply disruption risks using extreme-value theory and copula
- Modelling the financial risk associated with U.S. Movie box office earnings
- Discrimination of psychotropic drugs over‐consumers using a threshold exceedance based approach
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
- A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
- Extreme market risk and extreme value theory
- Extreme value distributions: an overview of estimation and simulation
- Capturing information in extreme events
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
- SOME MEASURES INFORMATION FOR GENERALIZED AND q-GENERALIZED EXTREME VALUES AND ITS PROPERTIES
- Estimating and backtesting risk under heavy tails
- Extreme events in dynamical systems and random walkers: a review
- Extreme Value Theory as a Risk Management Tool
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- Higher-Order Infinitesimal Robustness
- Joint tracking of multiple quantiles through conditional quantiles
- Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
- On \(q\)-generalized extreme values under power normalization with properties, estimation methods and applications to COVID-19 data
- Conditional VAR and Expected Shortfall: A New Functional Approach
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- Numerical convergence of the block-maxima approach to the generalized extreme value distribution
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- An optimal threshod selection approach for the value at risk of the extreme events
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- Semi-parametric expected shortfall forecasting in financial markets
- NEYMAN-PEARSON THEORY AND ITS APPLICATION TO SHORTFALL RISK IN FINANCE
- Extreme value theory and VaR computation
- A change-point approach for the identification of financial extreme regimes
- Risk analysis of cumulative intraday return curves
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- On the measurement and treatment of extremes in time series
- Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk
- Estimating Oil Price Value at Risk Using Belief Functions
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