Value at risk calculations, extreme events, and tail estimation

Journal of Derivatives

Volumn 7, Issue 3, 2000, Pages 23-37

  Neftci, Salih N ^a,b  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b UNIVERSITY OF READING   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038076516     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2000.319126     Document Type: Conference Paper

References (6)

1. Ait-Sahalia, Y. "Non-Parametric Pricing of Interest Rate Derivative Securities." Econometrica, 1996.
2. Davison, A.C., and R.L. Smith. "Models for Exceedences of High Thresholds." Journal of the Royal Statistical Society, 1990.
3. Embrechts, P., C. Kluppelberg, and T. Mikosh. Modelling Extremal Events. Springer, 1997.
4. Pickands, J. "Statistical Inference Using Extreme Order Statistics." Annals of Statistics, 1975.
5. RiskMetrics. J.P. Morgan Technical Document 3rd ed., 1996.
6. Smith, R.L. "Estimating Tails of Probability Distributions." Annals of Statistics, 1987.