Extreme Value Analysis for Financial Risk Management
نویسندگان
چکیده
This article reviews methods from extreme value analysis with applications to risk assessment in finance. It covers three main methodological paradigms: the classical framework for independent and identically distributed data application estimation market operational loss data, multivariate cross-sectional dependent systemic risk, stationary serially applied dynamic management. The is addressed statisticians interest possibly experience financial management who are not familiar analysis.
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ژورنال
عنوان ژورنال: Annual review of statistics and its application
سال: 2021
ISSN: ['2326-8298', '2326-831X']
DOI: https://doi.org/10.1146/annurev-statistics-042720-015705