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EXTREME VALUE THEORY IN FINANCE: A SURVEY Marco Rocco Financial Stability Unit, Bank of Italy Abstract. Modalité examen : écrit. Extreme value theory is concerned with the study of the asymptotic distribution of extreme events, that is to say events which are rare in frequency and huge in magnitude with respect to the majority of observations. 1 Introduction During the last decades the financial market has grown rapidly. Keywords: extreme value theory, max stable distributions, extreme value index, distribution tail estimation Mots-clés : théorie des valeurs extrêmes, lois max-stables, indice des valeurs extrêmes, estimation en queue de distribution AMS 2000 subject classifications: 60E07, 60G70, 62G32, 62E20 1. arXiv preprint arXiv:1203.0642. The Extreme value theory (EVT) holds promise for advancing assessment and management of extreme financial risks. J Econ Surv 28(1):82–108 CrossRef Google Scholar. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework. What is Extreme Value Theory (EVT)? Google Scholar . Extreme value theory is concerned with the study of the asymptotic distribution of extreme events, that is to say events which are rare in frequency and huge in magnitude with respect to the majority of observations. 1 Introduction This study was triggered by the late crisis of October 2008 in the Global Markets not only in America but also in Europe, and Asia. Crédits ECTS : 3. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework. Recent literature suggests that the application of Extreme value Theory generally results in more precise estimates of extreme quantiles and tail probabilities of financial asset returns (Embrechts P. et al, 1999). Extreme Value Theory in Finance Erik Brodin∗ Claudia Klu¨ppelberg† Abstract Extreme value theory is a practical and useful tool for modeling and quantifying risk. Shukla RK, Trivedi M, Kumar M (2012) On the proficient use of GEV distribution: a case study of subtropical monsoon region in India. Rocco M (2014) Extreme value theory in finance: a survey. Identifiant : FA332. 1 Extreme value theory is a practical and useful tool for modeling and quantifying risk. Heures de cours ... Il porte une attention particulière aux applications de cette théorie en assurance et en finance. •Statistical Theory concerning extreme values- values occurring at the tails of a probability distribution •Society, ecosystems, etc. KEY WORDS: Extreme Value Theory; Value at Risk; Financial Risk Man-agement; Financial Risk Modeling; Financial Time Series. Intitulé : Extreme-value theory. Extreme-value theory. Statistical methods derived from it have been employed increasingly in finance, especially for risk measurement.

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