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An application of extreme value theory for measuring financial risk. (English) Zbl 1153.91498
Summary: 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.

MSC:
91B28 Finance etc. (MSC2000)
91B30 Risk theory, insurance (MSC2010)
Software:
EVIM; ismev; bootstrap
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