Extreme Value Theory for Tail-Related Risk Measures

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Managing extreme risks in tranquil and volatile markets using conditional extreme value theory (2004, methodology): “The theory behind the block maxima method can be found in work by various authors (for instance, in Embrecths et al., 1997; Kellezi & Gilli, 2000; McNeil, 1998) and here, we only give a brief presentation of the method.”
Extreme Value Theory and Extremely Large Electricity Price Changes (2005, methodology): “The theory behind the block maxima method can be found in work by various authors (for instance in Embrecths et al., 1997; McNeil, 1998; and Kellezi and Gilli, 2000) and here we give only a brief presentation of the method.”
Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach (2005, methodology): “Estimating confidence intervals for VaR using profile likelihood methods Following Azzalini (1996), McNeil (1998), and Kellezi and Gilli (2000), the confidence interval for the return level R99% is constructed by reparametrizing the GPD log-likelihood function in terms of the parameters x and s and…”
Financial Risk and Heavy Tails (2003, background): “See McNeil [McN98a] or Këllezi and Gilli [KG00] for details.”