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Tail Distributions

In: Extreme Financial Risks and Asset Allocation

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  • Olivier Le Courtois
  • Christian Walter

Abstract

The classic theory of extreme values distinguishes between small and large variations in stock exchange quantities. One of the difficulties often encountered in the practical application of this theory is the choice of a threshold beyond which a variation is considered large. Such an approach is distinct from the concepts developed in this book, where all admissible variations are taken into account. One of the main goals of this chapter is to show how the Lévy process approach can be reconciled with that of extreme values…

Suggested Citation

  • Olivier Le Courtois & Christian Walter, 2014. "Tail Distributions," World Scientific Book Chapters, in: Extreme Financial Risks and Asset Allocation, chapter 8, pages 181-226, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781783263097_0008
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