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Leveraging Extreme Value Theory
2016In this chapter we propose to work within the extreme value theory framework. We suggest implementing a “block maxima” strategy to fit a generalised extreme value distribution on periodic maxima provided by risk managers. Here, we rely on risk managers expertise to assess the risks, and we transform the heterogeneous information provided into a ...
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Chapter IX: Extreme Value Theory
2020Predicting the typical order of minima or maxima is important in a number of applications. In agriculture, we may want to say something about the maximal content of a pesticide in a series of samples to check if the series passes the standards.
Søren Asmussen, Mogens Steffensen
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Extreme Value Theory for Observations
2020<p>We study the properties of recurrence of a smooth observable computed along a trajectory of a chaotic system near a particular value of interest .&#160; Using the framework of Extreme Value Theory, we are able to derive a limit law which is a Gumbel&#160; distribution whose parameters relate to the dimensions ...
Theophile caby +3 more
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Extreme Value Theory and Value at Risk [PDF]
Revista de Analisis Economico, 2003 Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financial assets with a given probability over a given time horizon. VaR became a key measure of market risk since the Basle Committee stated that banks should be able to cover losses on their trading portfolios over a ten-day horizon, 99 percent of the time.
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Extreme Value Theory and Dependence.
1985Abstract : The purpose of this paper is to give a very brief account of some of the essential ideas underlying classical extreme value theory, and to see how these are used (modified as necessary) for dependent cases. In particular it will be shown how the classical theory still applies for moderately dependent stationary sequences, but that under ...
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