English, Article, Journal or magazine article edition: Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management Francis X. Diebold; Til Schuermann; John D. Stroughair

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Bookmark: http://trove.nla.gov.au/version/190371
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
Author
  • Francis X. Diebold
  • Til Schuermann
  • John D. Stroughair
Physical Description
  • preprint
Notes
  • Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence holds promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated, and that at any rate much of the potential of EVT remains latent. We substantiate this claim by sketching a number of pitfalls associated with use of EVT techniques. More constructively, we show how certain of the pitfalls can be avoided, and we sketch a number of explicit research directions that will help the potential of EVT to be realized.
  • RePEc:wop:pennin:98-10
Language
  • English
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