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- W98768828 abstract "This chapter presents extreme value functions and the role these functions play in extreme risk management in the financial services industry. We show how quantitative finance methodologies and internal risk modeling based on value at risk’s normality assumption and historical statistical relationships failed to capture recent extreme events. We apply extreme theory and application to market shocks for stress testing and extreme value at risk, employing a model developed by Dr. Johnathan Mun, chairman, founder, and CEO of Real Options Valuation, Inc." @default.
- W98768828 created "2016-06-24" @default.
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- W98768828 date "2014-01-01" @default.
- W98768828 modified "2023-09-23" @default.
- W98768828 title "Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk" @default.
- W98768828 doi "https://doi.org/10.1016/b978-0-12-401690-3.00013-5" @default.
- W98768828 hasPublicationYear "2014" @default.
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