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research article

Revisiting the Edge, Ten Years On

Chavez-Demoulin, Valerie  
•
Embrechts, Paul
2010
Communications In Statistics-Theory And Methods

When these lines are written, it is January 21, 2008, a further `Black Monday' on the international markets. Stock indices have fallen between 5 and 10%. Which statistical tools help in describing such events and may help in understanding the consequences? In this article we update our knowledge on the modeling of extremal events, in particular with a view toward applications to finance, insurance, and risk management.

  • Details
  • Metrics
Type
research article
DOI
10.1080/03610920902822670
Web of Science ID

WOS:000277463700028

Author(s)
Chavez-Demoulin, Valerie  
Embrechts, Paul
Date Issued

2010

Published in
Communications In Statistics-Theory And Methods
Volume

39

Start page

1674

End page

1688

Subjects

Aggregation

•

Banking regulation

•

Copula

•

Dependence

•

Extreme value theory

•

Operational risk

•

Quantile estimation

•

Value-at-risk

•

Operational Risk

•

Models

•

Management

•

Copulas

•

Finance

•

Evt

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
December 16, 2011
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/75547
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