Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis

DOI10.1007/978-3-319-45875-5_7zbMath1368.91179OpenAlexW2525225901MaRDI QIDQ4976497

Jan De Spiegeleer, Jan Beirlant, Tom Reynkens, Wim Schoutens, Klaus Herrmann

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_7

zbMATH Keywords

scale estimatorextreme value indexextreme value methodsweekly returns

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Credit risk (91G40)

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Cites Work

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• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Statistics of Extremes
• Heavy-Tail Phenomena

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