One of the implications of the creation of Basel Committee on Banking Supervision wasthe implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk.Since then, the capital requirements of commercial banks with trading activities are basedon VaR estimates. Therefore,...

One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Since then, the capital requirements of commercial banks with trading activities are based on VaR estimates. Therefore,...

The extremal index (O) is the key parameter for extending extreme value theory results from i.i.d. to stationary sequences. One important property of this parameter is that its inverse determines the degree of clustering in the extremes. This article introduces a novel interpretation of the...