Revisiting the edge, ten years on

Details

Serval ID
serval:BIB_04D9E41EC5A5
Type
Article: article from journal or magazin.
Collection
Publications
Title
Revisiting the edge, ten years on
Journal
Communications in Statistics - Theory and Methods
Author(s)
Chavez-Demoulin V., Embrechts P.
ISSN
0361-0926
Publication state
Published
Issued date
2010
Peer-reviewed
Oui
Volume
39
Number
8-9
Pages
1674-1688
Language
english
Abstract
When these lines are written, it is January 21, 2008, a further "Black Monday" on the international markets. Stock indices have fallen between 5 and 10%. Which statistical tools help in describing such events and may help in understanding the consequences? In this article we update our knowledge on the modeling of extremal events, in particular with a view toward applications to finance, insurance, and risk management.
Keywords
aggregation, banking regulation, copula, dependence, extreme value theory, operational risk, quantile estimation, value-at-risk
Web of science
Create date
23/08/2011 9:06
Last modification date
20/08/2019 13:26
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