Tail Distributions

Olivier Le Courtois and Christian Walter ()

Chapter 8 in Extreme Financial Risks and Asset Allocation, 2014, pp 181-226 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The classic theory of extreme values distinguishes between small and large variations in stock exchange quantities. One of the difficulties often encountered in the practical application of this theory is the choice of a threshold beyond which a variation is considered large. Such an approach is distinct from the concepts developed in this book, where all admissible variations are taken into account. One of the main goals of this chapter is to show how the Lévy process approach can be reconciled with that of extreme values…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
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