is modelled using extreme value theory and the joint density of hedge fund index returns is constructed using a copula …

value theory. This theory consists oftwo approaches: The classical maxima method, based on the properties of themaximum of a … sample and the more popular threshold theory, based upon theproperties of exceedances of a specified threshold value. This …/her to perform extreme value analyses with confidence.Extreme value theory – for both approaches - is based upon asymptotic …

divergences in the tail returns fromaround the world. To do so, it applies extreme value theory to equity indicesrepresenting …

single and multi-period settings. These measures underpinned by extreme value theory are statistically robust explicitly …

period). The authors refer to this framework as conditional extreme value theory (EVT). To begin, they use an AR(1)-Garch(1 …

. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection of stock index …

returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to …

Approaches. The AMA developed in this thesis uses actuarial loss models complemented by the extreme value theory to determine the …