Extreme Value Theory for Tail-Related Risk Measures

Evis Këllezi and Manfred Gilli ()
Additional contact information
Evis Këllezi: Department of Econometrics and FAME, University of Geneva,switzerland

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: Many fields of modern science and engineering have to deal with events which are rare but have significant consequences. Extreme value theory is considered to provide the basis for the statistical modeling of such extremes. The potential of extreme value theory applied to financial problems has only been recognized recently. This paper aims at introducing the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.

Keywords: Extreme Value Theory; Generalized Pareto Distribution, Generalized Extreme Value Distribution; Quantile Estimation, Risk Measures; Maximum Likelihood Estimation; Profile Likelihood Confidence Intervals. (search for similar items in EconPapers)
JEL-codes: C13 C19 (search for similar items in EconPapers)
Date: 2000-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.swissfinanceinstitute.ch/rp18.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.swissfinanceinstitute.ch/rp18.pdf [301 Moved Permanently]--> https://www.sfi.ch/rp18.pdf [302 Found]--> https://www.sfi.ch/en/rp18.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp18

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().