Estimating the Marginal Contribution to Systemic Risk by A CoVaR-model Based on Copula Functions and Extreme Value Theory

Economic Notes ◽

10.1111/ecno.12095 ◽

2017 ◽

Vol 47 (1) ◽

pp. 69-112 ◽

Author(s):

Annalisa Di Clemente

Keyword(s):

Extreme Value Theory ◽

Systemic Risk ◽

Value Theory ◽

Extreme Value ◽

Marginal Contribution ◽

Copula Functions ◽

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Stress-Testing for Portfolios of Commodity Futures with Extreme Value Theory and Copula Functions

Lecture Notes in Economics and Mathematical Systems - Computational Management Science ◽

10.1007/978-3-319-20430-7_3 ◽

2016 ◽

pp. 17-22

Author(s):

Pierre-Antoine Mudry ◽

Florentina Paraschiv

Keyword(s):

Extreme Value Theory ◽

Stress Testing ◽

Value Theory ◽

Extreme Value ◽

Commodity Futures ◽

Copula Functions

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Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis

Finance Research Letters ◽

10.1016/j.frl.2020.101498 ◽

2020 ◽

pp. 101498 ◽

Author(s):

Pedro Gerhardt Gavronski ◽

Flavio A. Ziegelmann

Keyword(s):

Financial Crisis ◽

Extreme Value Theory ◽

Systemic Risk ◽

Value Theory ◽

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Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2019.123207 ◽

2020 ◽

Vol 544 ◽

pp. 123207

Author(s):

Yan Chen ◽

Wenqiang Yu

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Index Futures ◽

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VaR Model Based on Fat-Tail Distribution of Extreme Value Theory with Its Application in Chinese Foreign Exchange Market

2009 International Conference on Information Engineering and Computer Science ◽

10.1109/iciecs.2009.5363130 ◽

2009 ◽

Author(s):

Shaozong Zhang ◽

Jie Yang

Keyword(s):

Foreign Exchange ◽

Extreme Value Theory ◽

Foreign Exchange Market ◽

Value Theory ◽

Extreme Value ◽

Var Model ◽

Exchange Market ◽

Model Based ◽

Fat Tail ◽

Tail Distribution

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VaR Model Based on GARCH Approach and Extreme Value Theory with Application in Chinese Interbank Offering Market

2010 2nd International Conference on Information Engineering and Computer Science ◽

10.1109/iciecs.2010.5677862 ◽

2010 ◽

Author(s):

Jie Yang ◽

Shaozong Zhang

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Var Model ◽

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Extreme Value Theory and Archimedean Copulas

Scandinavian Actuarial Journal ◽

10.1080/03461230110106534 ◽

2004 ◽

Vol 2004 (3) ◽

pp. 211-228 ◽

Author(s):

Mario V. Wüthrich

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Archimedean Copulas

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Extreme Value Theory and Dependence.

10.21236/ada159138 ◽

1985 ◽

Author(s):

M. R. Leadbetter

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

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Extreme Value Theory for Suprema of Random Variables with Regularly Varying Tail Probabilities.

10.21236/ada179126 ◽

1986 ◽

Author(s):

Tailen Hsing

Keyword(s):

Extreme Value Theory ◽

Random Variables ◽

Value Theory ◽

Extreme Value ◽

Tail Probabilities ◽

Regularly Varying

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Extreme value theory and high quantile convergence

The Journal of Operational Risk ◽

10.21314/jop.2006.009 ◽

2006 ◽

Vol 1 (2) ◽

pp. 51-57 ◽

Author(s):

Mikhail Makarov

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

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Efficient filtering of financial time series and extreme value theory

The Journal of Risk ◽

10.21314/jor.2005.107 ◽

2005 ◽

Vol 7 (2) ◽

pp. 63-84 ◽

Author(s):

Kaj Nyström ◽

Jimmy Skoglund

Keyword(s):

Time Series ◽

Extreme Value Theory ◽

Financial Time Series ◽

Value Theory ◽

Extreme Value ◽

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