This paper presents the extreme value theory and an application to the US equity market. Extreme events in finance such as stock market crashes, bond market collapses, foreign exchange breakdowns and other financial crises are of great interest for investors, corporate and financial institutions, and regulators. The extreme value theory brings a quantitative point of view of these rare but important events.
LONGIN, F. (2000). Extreme Value Theory: Issues for the New Millenium. Journal of Derivatives and Hedge Funds, pp. 230-237.