Management

Extreme Value Theory for Risk Managers

---

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 a stochastic volatility framework to deliver useful estimates of
Value-at-Risk (VaR) and expected shortfall, a coherent alternative to the VaR, for
market risks. Further topics of interest, including multivariate extremes, models for
stress losses and software for EVT, are also discussed.

---

Availability

No copy data

Detail Information

Series Title

-

Call Number

-

Publisher

: .,

Collation

-

Language

English

ISBN/ISSN

-

Classification

NONE

Content Type

-

Media Type

-

Carrier Type

-

Edition

-

Subject(s)

-

Specific Detail Info

-

Statement of Responsibility

-

Other version/related

File Attachment

Comments

---

You must be logged in to post a comment