By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...

This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series. Indeed, specific behaviours observed by financial assets, like...