Extreme Value Theory

Keyword: Extreme Value Theory

3 results found
Risk 2.0: EVT Predicted Downside Risk of 2007

...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.

Risk 2.0: Extreme Value Theory

Three-part series explores how EVT can help manage risk post-crisis.

Time to Kick VaR to the Curb

Or, how two moment mean-variance killed modern finance theory.

  • July 5, 2010 September 13, 2019
  • 13:13