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Conference Proceedings (1998), CEFES'98, Financial Management Association (FMA), pp. 1-5

Value at Risk and Extreme Values

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. In: CEFES'98. Financial Management Association (FMA), pp. 1-5.