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Computational Economics

, Volume 27, Issue 2–3, pp 207–228 | Cite as

An Application of Extreme Value Theory for Measuring Financial Risk

  • Manfred GilliEmail author
  • Evis këllezi
Article

Abstract

Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. The focus of the paper is on the use of extreme value theory to compute tail risk measures and the related confidence intervals, applying it to several major stock market indices.

Keywords

extreme value theory generalized pareto distribution generalized extreme value distribution quantile estimation risk measures maximum likelihood estimation profile likelihood confidence intervals 

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Copyright information

© Springer Science+Business Media, Inc. 2006

Authors and Affiliations

  1. 1.Department of EconometricsUniversity of Geneva and FAMEGenevaSwitzerland
  2. 2.Mirabaud & Cie, Boulevard du Théâtre 3GenevaSwitzerland

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