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Steps in Applying Extreme Value Theory to Finance: A Review
Staff Working Paper 2000-20 Younes BensalahExtreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1
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