A generalized extreme value approach to financial risk measurement

Journal of Money, Credit and Banking

Volumn 39, Issue 7, 2007, Pages 1613-1649

  Bali, Turan G ^a  

^a CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Extreme value theory; Financial risk management; Skewed fat tailed distributions; Value at risk

Indexed keywords

EID: 34548559486     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2007.00081.x     Document Type: Article

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