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Annual Review of Statistics and Its Application

Volume 8, 2021

Extreme Value Analysis for Financial Risk Management

Abstract

This article reviews methods from extreme value analysis with applications to risk assessment in finance. It covers three main methodological paradigms: the classical framework for independent and identically distributed data with application to risk estimation for market and operational loss data, the multivariate framework for cross-sectional dependent data with application to systemic risk, and the methods for stationary serially dependent data applied to dynamic risk management. The article is addressed to statisticians with interest and possibly experience in financial risk management who are not familiar with extreme value analysis.

Keyword(s): asymptotic dependence, heavy tails, market risk, operational risk, systemic risk
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2021-03-07
2024-04-29
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Extreme Value Analysis for Financial Risk Management
Annual Review of Statistics and Its Application 8, 217 (2021); https://doi.org/10.1146/annurev-statistics-042720-015705
/content/journals/10.1146/annurev-statistics-042720-015705
/content/journals/10.1146/annurev-statistics-042720-015705
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