Jesús, Raúl de; Ortiz, Edgar - In: Frontiers in Finance and Economics 8 (2011) 2, pp. 49-88
Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...