Research and publications

Towards the Integration of Extreme Values in Obtaining the Value-at-Risk

In this paper we aim to show how risk managers can benefit from this integration of EVT (Extreme Value Theory) into their VaR calculation and how they could easily reduce the effects of some of the important drawbacks that VaR presents.

Author(s) :

Jean-Christophe Meyfredi

Summary :

In this paper we aim to show how risk managers can benefit from this integration of EVT (Extreme Value Theory) into their VaR calculation and how they could easily reduce the effects of some of the important drawbacks that VaR presents.

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Type : Working paper
Date : 09/01/2003
Keywords :

Risk