Journal ArticleDOI
Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
Reads0
Chats0
About:
This article is published in Annals of Mathematics.The article was published on 1943-07-01. It has received 2037 citations till now.read more
Citations
More filters
Journal ArticleDOI
A survey of rare event simulation methods for static input–output models
TL;DR: Different appropriate techniques to estimate rare event probabilities that require a fewer number of samples are reviewed, including parameterization techniques of probability density function tails, simulation techniques such as importance sampling or importance splitting, geometric methods to approximate input failure space and finally, surrogate modeling.
An Application of Extreme Value Theory for Measuring Risk
Manfred Gilli,Evis Kellezi +1 more
TL;DR: In this article, the authors introduce the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures, and propose a statistical model for tail related risk measures.
Posted Content
A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns
Turan G. Bali,David Weinbaum +1 more
TL;DR: In this article, a conditional extreme value volatility estimator (EVT) based on high-frequency returns is introduced. But the relative performance of the EVT estimator is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized volatility.
Journal ArticleDOI
Statistical downscaling of extreme precipitation events using extreme value theory
TL;DR: In this paper, the authors present the development and application of such a statistical model calibration on the basis of extreme value theory, in order to derive probabilistic forecasts for (extreme) local precipitation.
Journal ArticleDOI
Beyond the VaR
TL;DR: In this paper, Longin discusses a related concept, the expected value of the loss conditional on its being greater than the value at risk, known as BVaR, and presents an analysis with historical data to show how VaR and BVAR calculations would differ for linear and non-linear positions based on the S&P 500 stock index and its options, under different assumptions about the returns distribution.