This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics, extremes of a random process refer to the lowest observation (the minimum) and to the highest observation (the maximum) over a given time-period. Extreme value theory...

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation,...

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. Using "extreme value theory" to model the...

This paper presents extreme value theory and its application to the computation of the value at risk of a position. This statistical theory allows quantification of the behavior of extreme moveme nts in prices and rates such that a new measure for catastrophe or bankruptcy risk can be defined....