00000nam##2200000za#4500 9.571562 CaOODSP 20211126112844 cr ||||||||||| 150406|2000||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/100-20E-PDF Bank of Canada. Steps in applying extreme value theory to finance : [electronic resource] a review / by Younes Bensalah. Ottawa - Ontario : Bank of Canada November 2000. 31p. graphs, table Bank of Canada working paper 1701-9397 2000-20 "This paper is organized as follows. Section 2 introduces some theoretical results concerning the estimation of the asymptotic distribution of the extreme observations. Section 3 describes some data sampling problems, the choice of the threshold (or beginning of the tail), and parameter and quantile estimation. Section 4 estimates an extreme VaR and Section 5 describes the limitations of the theory. Section 6 provides a complete example of EVT techniques applied to a series of daily exchange rates of Canadian/U.S. dollars over a 5-year period (1995-2000). Section 7 concludes."--Introduction. The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication. Bibliography. This paper is organized as follows. Section 2 introduces some theoretical results concerning the estimation of the asymptotic distribution of the extreme observations. Section 3 describes some data sampling problems, the choice of the threshold (or beginning of the tail), and parameter and quantile estimation. Section 4 estimates an extreme VaR and Section 5 describes the limitations of the theory. Section 6 provides a complete example of EVT techniques applied to a series of daily exchange rates of Canadian/U.S. dollars over a 5-year period (1995-2000). Section 7 concludes.--Introduction Résumé en français. 11-19-Supp 2011-09-23 Economic conditions gcpds Stock markets gcpds Consumerism gcpds Bensalah, Younes Steps in applying extreme value theory to finance : (CaOODSP)9.615408 Working paper (Bank of Canada) 1701-9397 2000-20 (CaOODSP)9.504604 http://publications.gc.ca PDF 131 KB https://publications.gc.ca/collections/Collection/FB3-2-100-20E.pdf 2000-20