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Conference Proceedings (1997), 14e Conférence Internationale de Finance, Université Pierre Mendes France, Grenoble, pp. 1-15

Evaluating the Probability of an Extreme Price Movement : Different Approaches

Risk is one of the most important factors in financial management. This paper focuses on extreme risk related to events contained in the tails of the distributions of asset prices. We present and compare different methods for measuring risk : the unconditional normal distribution, conditional processes like the GARCH process and the process used in RiskMetrics, the extreme value distribution and the distribution implied by information based on the prices of derivatives.

CHANG, K. and LONGIN, F. (1997). Evaluating the Probability of an Extreme Price Movement : Different Approaches. In: 14e Conférence Internationale de Finance. Université Pierre Mendes France, Grenoble, pp. 1-15.