Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

By Francis X. Diebold, Til Schuermann, J. Stroughair. 2000

313 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d63d33940cd848b4d6cb9ac99becd2c53b6e09eb

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Citations in the corpus

Financial Risk and Heavy Tails (2003, methodology): “For discussions of the use of EVT in risk management, see Embrechts [Emb00] and Diebold, Schuermann and Stroughair [DSS00].”
Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes (2003, methodology): “An alternative methodology is to model conditional returns and estimate the model innovations based on a GARCH specification; see Diebold et al. (1998) , McNeil and Frey (2000) and Lauridsen (2000).”
Estimation of tail risk based on extreme expectiles (2016, unknown): “2 Estimation based on tail QMES On the basis of the limit (20), we consider the alternative estimator”
Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks (2009, unknown): “This empirical example closely matches the Monte-Carlo experiment in the previous section 16 See Christoffersen, Hahn, and Inoue (1999), Diebold, Schuermann, and Stroughair (2000), Cher- nozhukov and Umantsev (2001), and Engle and Manganelli (2004). with heavy-tailed t(3) disturbances.”
An Application of Extreme Value Theory for Measuring Risk (2003, background): “An interesting discussion about the potential of extreme value theory in risk management is given in Diebold et al. (1998).”
Extreme Value Theory for Tail-Related Risk Measures (2000, background): “An interesting discussion about the potential of extreme value theory in risk managment is given in ( Diebold, Schuermann and Stroughair, 1998 ).”
Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions (2010, methodology): “Diebold, Schuermann, and Stroughair (2000) argue that the fundamental assumption of EVT—that the observations are independent and identically distributed (i.i.d.)—is usually violated when dealing with high-frequency financial returns.”
The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007, background): “find it worthwhile to put the record straight on EVT: Papers like Diebold et al. [ 8 ]”
Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check (2006, methodology): “Alexander (1998), or Dowd (1998). We have also modified some of these models by integrating various ARCH tools such as generalized ARCH (GARCH) of Bollerslev (1986), exponential GARCH (EGARCH) of Nelson (1991), and threshold GARCH (TGARCH) of Glosten, Jaganathan and Runkle (1993). In addition to the”
Extreme Value Theory: Potential And Limitations As An Integrated Risk Management Tool (2000, unknown): “See also [3] for an interesting discussion.”