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real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …
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Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
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