Extreme Value Theory and its Applications to Financial Risk Management
Year of publication: |
1998
|
---|---|
Authors: | Tsevas, G. ; Panaretos, John |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Central limit theorem | Standard extreme value distributions | Quantiles | Mean excess function | Value-at-risk | Shortfall distribution | Peaks over threshjold-method |
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