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Brodin, Erik’ AUTHOR PAGE
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E-Mail: ebrodin@math.chalmers.se
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Affiliation: Chalmers University of Technology
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Extreme Value Theory in Finance 2006
Kluppelberg, Claudia
Brodin, Erik
 
Extreme value theory is a practical and useful tool for modeling and quantifying risk. In this article, after introducing basic concepts, we indicate ...
Contributions to Quantile Estimation 2005
Brodin, Erik
 
In this thesis we develop new methodology for quantile estimation. For quantiles within the range of the sample we use non-parametric estimation, bas...
A Path Dependent Risk Measure in Finance 2007
Brodin, Erik
 
In this paper we introduce the path dependent risk measure Probable Maxi-mum Loss (PML) to finance. Using Extreme Value Theory, we discuss properties ...
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