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008	150406|2000||||xxc|||||     f|0| 0 eng|d
020	|a0-662-29669-9
022	|a1192-5434
040	|aCaOODSP|beng
043	|an-cn---
086	1 |aFB3-2/100-20E
110	2 |aBank of Canada.
245	10|aSteps in applying extreme value theory to finance : |ba review / |cby Younes Bensalah.
260	|aOttawa - Ontario : |bBank of Canada |c2000.
300	|av, 22p. : |bgraphs, tables ; |c28 cm.
490	1 |aWorking paper|x1192-5434|v100-20
500	|a"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.
504	|aBibliography.
520	3 |aThis 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
546	|aRésumés en français
563	|aSoftcover
590	|a00-47|b2000-11-24
690	07|aEconomic conditions|2gcpds
690	07|aStock markets|2gcpds
690	07|aConsumerism|2gcpds
720	1 |aBensalah, Younes
776	0#|tSteps in applying extreme value theory to finance : |w(CaOODSP)9.571562
830	#0|aWorking paper,|x1192-5434|v100-20|w(CaOODSP)9.514622