Extreme conditional value at risk: a coherent scenario for risk management
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More about this item
Keywords
Risk management; value-at-risk; conditional value-at-risk; extreme value theory; generalized extreme value distribution; generalized Pareto distribution; historical simulation; variance-covariance; fat-tails;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-05-30 (Risk Management)
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