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An Application of Extreme Value Theory for Measuring Financial Risk

Gilli, Manfred ; këllezi, Evis

In: Computational Economics, 2006, vol. 27, no. 2-3, p. 207-228

Iterative Estimation of the Extreme Value Index

Müller, Samuel ; Hüsler, Jürg

In: Methodology and Computing in Applied Probability, 2005, vol. 7, no. 2, p. 139-148

Strategic Long-Term Financial Risks: Single Risk Factors

Embrechts, Paul ; Kaufmann, Roger ; Patie, Pierre

In: Computational Optimization and Applications, 2005, vol. 32, no. 1-2, p. 61-90

Analysis of the Expected Shortfall of Aggregate Dependent Risks

Alink, Stan ; Löwe, Matthias ; Wüthrich, Mario V.

In: ASTIN Bulletin, 2005, vol. 35, no. 1, p. 25-43

Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory

McNeil, Alexander J.

In: ASTIN Bulletin, 1997, vol. 27, no. 1, p. 117-137

Robust value at risk prediction

Mancini, Loriano ; Trojani, Fabio

In: Journal of financial econometrics, 2011, vol. 9, no. 2, p. 281-313

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that controls bootstrap instability due to outlying observations. A Monte Carlo simulation shows that our robust method provides more accurate VaR...