C5 - Econometric Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T08:43:08+00:00Steps in Applying Extreme Value Theory to Finance: A Review
https://www.bankofcanada.ca/2000/11/working-paper-2000-20/
Extreme 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.2000-11-08T15:54:29+00:00enSteps in Applying Extreme Value Theory to Finance: A Review2000-11-08Financial marketsWorking Paper 2000-20 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-20.pdfSteps in Applying Extreme Value Theory to Finance: A ReviewYounes BensalahNovember 2000CC0C4C5GG1