Singh, Abhay K.; Allen, David E.; Robert, Powell J. - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 310-328
, when dealing with extreme financial events and the quantification of extreme market risk is extreme value theory (EVT …). This proves to be a natural statistical modelling technique of relevance. Extreme value theory provides well …-established statistical models for the computation of extreme risk measures like the return level, value at risk and expected shortfall. In …