An Application of Extreme Value Theory for Measuring Financial Risk

Submitted on 29th July 2015

Assessing the probability of rare and extreme events is an important issue in the risk management of nancial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. The focus of the paper is on the use of extreme value theory to compute tail risk measures and the related condence intervals, applying it to several major stock market indices.

University of Geneva
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Manfred Gilli, Evis Kellezi
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