Beyond the Sample: Extreme Quantile and Probability Estimation
Economic problems such as large claims analysis in insurance and value-at-risk in fi- nance, require assessment of the probability P of extreme...
DP 298
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplication Factor
We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better...
SP 100
Value-At-Risk and Extreme Returns
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and...
DP 273
Extreme Returns, Tail Estimation and Value-at-Risk
Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...
DP 273
