This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics, extremes of a random process refer to the lowest observation (the minimum) and to the highest observation (the maximum) over a given time-period. Extreme value theory...

After a rapid expansion of financial transactions, both the authorities and financial institutions became aware of the risk involved in interbank settlement systems. To cope with the risk the systems in most economies have been designed so that large-sized payments are settled in the real time...