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Steps in applying extreme value theory to finance : a review / by Younes Bensalah.: FB3-2/100-20E

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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

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Publication information
Department/Agency
  • Bank of Canada.
TitleSteps in applying extreme value theory to finance : a review / by Younes Bensalah.
Series title
  • Working paper 1192-5434 100-20
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[English]
Note(s)
  • "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.
  • Bibliography.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2000.
BindingSoftcover
Descriptionv, 22p. : graphs, tables ; 28 cm.
ISBN0-662-29669-9
ISSN1192-5434
Catalogue number
  • FB3-2/100-20E
Subject terms
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