Extreme market risk and extreme value theory

DOI10.1016/j.matcom.2012.05.010zbMath1499.91188OpenAlexW1975030439MaRDI QIDQ2227458

A. K. Singh, Powell J. Robert, David E. Allen

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.05.010

zbMATH Keywords

GARCHextreme value theoryexpected shortfallvalue at riskrisk modelling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (4)

Permutation bootstrap and the block maxima method ⋮ Downside risks in EU carbon and fossil fuel markets ⋮ A general approach to generate random variates for multivariate copulae ⋮ Severity modeling of extreme insurance claims for tariffication

Uses Software

• ismev
• QRM
• RiskMetrics

Cites Work

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• An application of extreme value theory for measuring financial risk
• Estimating tails of probability distributions
• ARCH models and financial applications
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Extremal forex returns in extremely large data sets
• Accounting for the threshold uncertainity in extreme value estimation
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Statistics of financial markets. An introduction.
• An introduction to statistical modeling of extreme values

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