Skip navigation
Full metadata record
DC FieldValueLanguage
dc.contributor.authorDiebold, Francis X.-
dc.contributor.authorSchuermann, Til-
dc.contributor.authorStroughair, John D.-
dc.date.accessioned2008-05-29T18:58:29Z-
dc.date.available2008-05-29T18:58:29Z-
dc.date.issued1998-03-
dc.identifier.urihttp://hdl.handle.net/2451/27079-
dc.description.abstractRecent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence hold promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated, and that at any rate much of the potential of EVT remains latent. We substantiate this claim by sketching a number of pitfalls associate with use of EVT techniques. More constructively, we show how certain of the pitfalls can be avoided, and we sketch a number of explicit research directions that will help the potential of EVT to be realized.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-98-081en
dc.titlePitfalls and Opportunities in the Use of Extreme Value Theory in Risk Managementen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

Files in This Item:
File Description SizeFormat 
wpa98081.pdf506.12 kBAdobe PDFView/Open


Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.