Decision Sciences
3 years ago

New method predicts extreme financial risks with precision.

1 view
Wiley series in probability and statistics
Extreme Values, Quantile Estimation, and Value at Risk

Paper Summary

The article discusses how to estimate extreme values in financial risk management using a method called Value at Risk. Researchers explore different approaches, including RiskMetrics and Extreme Value Theory, to calculate the likelihood of extreme events in financial markets. The study suggests a new method based on Extreme Value Theory for better quantile estimation and risk assessment.

Related papers

Theme background image
Social Sciences
3 years ago

New tool predicts rare extreme events like earthquakes and pandemics.

Ageing Research
Macroeconomic Analysis
Spatial Econometrics
2 views
Economics, Econometrics and Finance
4 years ago

Extreme value theory revolutionizes financial risk management in volatile markets.

Financial Volatility
Oil Price Shocks
Macroeconomic Analysis
2 views
Theme background image
Environmental Science
5 years ago

Extreme rainfall prediction model warns of potential natural disaster risks in Semarang.

Drought Monitoring
Financial Volatility
Precipitation Estimation
2 views