Loading...
research article
Revisiting the Edge, Ten Years On
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.
Type
research article
Web of Science ID
WOS:000277463700028
Authors
Publication date
2010
Published in
Volume
39
Start page
1674
End page
1688
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
December 16, 2011
Use this identifier to reference this record