November 16, 2000
Credit and credit aggregates, Lender of last resort, Monetary and financial indicators, Financial institutions, Financial markets, International financial markets, Monetary policy implementation, Financial system regulation and policies, Financial services, Financial stability, Payment clearing and settlement systems
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Steps in Applying Extreme Value Theory to Finance: A Review
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.