Conference Proceedings
Year
1998
Abstract
This article proposes an overview of market risks : measure, control and regulation. In particular, it considers the impact of great market shocks on the value and the risk of a portfolio. It shows how extreme value theory can be used to measure extreme risk in finance.
LONGIN, F. (1998). Value at Risk and Extreme Values. Dans: CEFES’98. Financial Management Association (FMA), pp. 1-5.