Recent literature suggests that the application of Extreme value Theory generally results in more precise estimates of extreme quantiles and tail probabilities of financial asset returns (Embrechts P. et al, 1999). What is Extreme Value Theory (EVT)? Shukla RK, Trivedi M, Kumar M (2012) On the proficient use of GEV distribution: a case study of subtropical monsoon region in India. Statistical methods derived from it have been employed increasingly in finance, especially for risk measurement. Extreme value theory is concerned with the study of the asymptotic distribution of extreme events, that is to say events which are rare in frequency and huge in magnitude with respect to the majority of observations. The Extreme value theory (EVT) holds promise for advancing assessment and management of extreme financial risks. Modalité examen : écrit. Extreme Value Theory in Finance Erik Brodin∗ Claudia Klu¨ppelberg† Abstract Extreme value theory is a practical and useful tool for modeling and quantifying risk. Intitulé : Extreme-value theory. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework. Google Scholar . Rocco M (2014) Extreme value theory in finance: a survey. arXiv preprint arXiv:1203.0642. Extreme value theory is concerned with the study of the asymptotic distribution of extreme events, that is to say events which are rare in frequency and huge in magnitude with respect to the majority of observations. Keywords: extreme value theory, max stable distributions, extreme value index, distribution tail estimation Mots-clés : théorie des valeurs extrêmes, lois max-stables, indice des valeurs extrêmes, estimation en queue de distribution AMS 2000 subject classifications: 60E07, 60G70, 62G32, 62E20 1. 1 Heures de cours ... Il porte une attention particulière aux applications de cette théorie en assurance et en finance. •Statistical Theory concerning extreme values- values occurring at the tails of a probability distribution •Society, ecosystems, etc. EXTREME VALUE THEORY IN FINANCE: A SURVEY Marco Rocco Financial Stability Unit, Bank of Italy Abstract. Extreme value theory is a practical and useful tool for modeling and quantifying risk. J Econ Surv 28(1):82–108 CrossRef Google Scholar. Identifiant : FA332. KEY WORDS: Extreme Value Theory; Value at Risk; Financial Risk Man-agement; Financial Risk Modeling; Financial Time Series. Extreme-value theory. 1 Introduction During the last decades the financial market has grown rapidly. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework. 1 Introduction This study was triggered by the late crisis of October 2008 in the Global Markets not only in America but also in Europe, and Asia. Crédits ECTS : 3.

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