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Presentations at an Academic or Professional conference (2009), European Workshop on Risk Analysis and EVT

A Brief Review on EVT Basics and Operational Risk Measures

We shall introduce the univariate as well as the multivariate extreme value theory, with the different methods involved. Applications to Finance will be considered, in particular to define the notion of operational risk measures, such as VaR and stress-testing.

KRATZ, M. (2009). A Brief Review on EVT Basics and Operational Risk Measures. In: European Workshop on Risk Analysis and EVT.