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Abstract: We provide an overview of the role of extreme value theory (EVT) in risk management (RM), as a method for modelling and measuring extreme risks. We concentrate on the peaks-over-threshold (POT) model and emphasize the generality of this approach. Wherever the tail of a loss distribution is of interest, whether for market, credit, operational or insurance risks, the POT method provides a simple tool for estimating measures of tail risk. In particular we show how the POT method may be embedded in ... (Update)
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BibTeX entry: (Update)
McNeil, A.J. (1999) Extreme Value Theory for Risk Managers. RISK Special Volume, to appear. ETH Preprint (www.math.ethz.ch/mcneil/pub list.html). 11 http://citeseer.ist.psu.edu/mcneil99extreme.html More
@misc{ mcneil99extreme,
author = "A. McNeil",
title = "Extreme Value Theory for Risk Managers",
note = "RISK Special
Volume, to appear. ETH Preprint (www.math.ethz.ch/ mcneil/pub list.html).
11",
year = "1999",
url = "citeseer.ist.psu.edu/mcneil99extreme.html" }
Citations (may not include all citations):37 An Introduction to Copulas (context) - Nelsen - 1999
28 Multivariate Models and Dependence Concepts (context) - Joe - 1997
21 Thinking coherently (context) - Artzner, Delbaen et al. - 1997
18 Practical analysis of extreme values (context) - Beirlant, Teugels et al. - 1996
17 Estimation of tail-related risk measures for heteroscedastic.. - McNeil, Frey - 1998
15 Estimating the tails of loss severity distributions using ex.. - McNeil - 1997
14 Statistical Analysis of Extreme Values (context) - Reiss, Thomas - 1997
10 Tail index and quantile estimation with very high frequency .. (context) - Danielsson, de Vries - 1997
10 Correlation and dependency in risk management: properties an.. (context) - Embrechts, McNeil et al. - 1999
9 Pitfalls and opportunities in the use of extreme value theor.. (context) - Diebold, Schuermann et al. - 1999
5 Living on the edge - Embrechts, Resnick et al. - 1998
5 Incorporating volatility updating into the historical simula.. - Hull, White - 1998
5 Multivariate threshold methods (context) - Smith - 1994
5 The cost of conservatism (context) - Danielsson, Hartmann et al. - 1998
4 Modelling extremal events for insurance and nance (context) - Embrechts, Kl et al. - 1997
3 History repeating (context) - McNeil - 1998
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