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EXTREME VALUE THEORY FOR RISK MANAGERS USING TAIL-RELATED RISK MEASURES

机译：使用与尾巴相关的风险度量的风险管理者极值理论

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摘要

Many fields of modern science and engineering deal with events that are rare but have significant consequences. Extreme event risk is present in all areas of risk management; one of the greatest challenges of a risk manager is to implement risk management models that allow for rare but damaging events, and permit the measurement of their consequences. The challenge is to model these rare phenomena which mainly lie outside the range of available observations. Extreme value theory (EVT) provides a firm theoretical foundation on which statistical models describing extreme events can be built. Recently, more and more research has been undertaken to analyze the extreme variations that financial markets are subjects to, mostly because of currency crises, stock market crashes, and large credit defaults. This paper discusses how EVT can be applied to model tail-related risk measures such as VaR and expected shortfall.
机译：现代科学和工程学的许多领域处理的事件很少见，但后果却很严重。极端事件风险存在于风险管理的所有领域；风险管理者面临的最大挑战之一是实施风险管理模型，该模型允许发生罕见但具有破坏性的事件，并可以衡量其后果。面临的挑战是对这些罕见现象进行建模，这些现象主要位于可用观察范围之外。极值理论（EVT）提供了坚实的理论基础，可在此基础上构建描述极端事件的统计模型。近来，进行了越来越多的研究来分析金融市场所受的极端变化，这主要是由于货币危机，股市崩盘和大量信贷违约。本文讨论了如何将EVT应用于模型与尾部相关的风险度量，例如VaR和预期的短缺。

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