Revisiting the edge, ten years on
Détails
ID Serval
serval:BIB_04D9E41EC5A5
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Revisiting the edge, ten years on
Périodique
Communications in Statistics - Theory and Methods
ISSN
0361-0926
Statut éditorial
Publié
Date de publication
2010
Peer-reviewed
Oui
Volume
39
Numéro
8-9
Pages
1674-1688
Langue
anglais
Résumé
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.
Mots-clé
aggregation, banking regulation, copula, dependence, extreme value theory, operational risk, quantile estimation, value-at-risk
Web of science
Site de l'éditeur
Création de la notice
23/08/2011 8:06
Dernière modification de la notice
20/08/2019 12:26