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Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool
Company: ETH Zurich
Company Url: Click here to open
Year Of Publication: 2000
Month Of Publication: January
Pages: 12
Download Count: 1256
View Count: 7962
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-19-2002
Publisher: Administrator
Summary
Extreme Value Theory (EVT) is currently very much in the focus of interest in quantitative risk management. Originally conceived as the mathematical (probabilistic/statistical) theory for analysing rare events, it recently entered the risk management stage. In this paper I discuss some of the issues (mainly, but not exclusively) related to Value-at-Risk methodology. I try to come up with a virtues versus limitations assessment, both from an academic as well as from an end-user point of view.
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Embrechts, Paul Sign in to follow this author
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