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Risks 2018, 6(2), 45; https://doi.org/10.3390/risks6020045

Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

1
Department of Economics and Management, University of Trento, via Inama 5, 38122 Trento, Italy
2
Department of Mathematical Sciences, Mathematical Finance and Econometrics, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milano, Italy
*
Author to whom correspondence should be addressed.
Received: 6 April 2018 / Revised: 19 April 2018 / Accepted: 20 April 2018 / Published: 24 April 2018
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Abstract

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks. The purpose of this paper is to review these methods. View Full-Text
Keywords: Extreme Value Theory; volatility; risk; quantile Extreme Value Theory; volatility; risk; quantile
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Bee, M.; Trapin, L. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. Risks 2018, 6, 45.

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