From value at risk to stress testing: The extreme value approach

Journal of Banking and Finance

Volumn 24, Issue 7, 2000, Pages 1097-1130

  Longin, François M ^a  

^a ESSEC BUSINESS SCHOOL   (France)

Author keywords

Aggregation of risks; C51; Capital requirements; Extreme value theory; Financial crises; Financial regulation; G28; Measure of risk; Risk management; Stress testing; Value at risk

Indexed keywords

EID: 0008069076     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00077-1     Document Type: Article

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