Guegan, Dominique; Hassani, Bertrand; Naud, Cédric - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions … threshold. We show the impact of the estimation procedure on the computation of the capital requirement - through the VaR …