Extremes and Integrated Risk Management

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High volatility, thick tails and extreme value theory in value-at-risk estimation (2003, background): “Embrechts et al. (1997), Embrechts (2000b) and Reiss and Thomas (1997) are comprehensive sources of the EVT to the finance and insurance literature.”
Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004, background): “See Gençay, Selçuk, and Ulugülyağcı (2001) for more details. these economies.”
Non‐parametric Estimation of Extreme Risk Measures from Conditional Heavy‐tailed Distributions (2014, background): “Even though links between extreme-value theory and risk measures have already been investigated (Embrechts et al., 1997; Embrechts, 2000; McNeil et al., 2005), the estimation of risk measures is usually achieved in the statistical literature for fixed values of ˛ (for instance, Deme et al., 2013;…”
Change-Point Analysis for Dependence Structures in Finance and Insurance (2001, background): “In the (more realistic)case when k is unknown, H0 will be rejected for large values ofZn = max1 k<n( 2 log( k)): (1)The asymptotic distribution of Z1=2n can be derived using Extreme ValueTheory (EVT) techniques; see Embrechts et al. (1997) and Embrechts (2000).”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “, Ld comonotonic and % = VaRα, (16) holds; see Embrechts et al. (2003b). If % is a”