EVT-based estimation of risk capital and convergence of high quantiles

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Author
Degen, Matthias
Embrechts, Paul
Date
2008
Type
    Journal Article
Publication status
published
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Journal / series
Advances in Applied Probability
Volume
40(3)
Pages / Article No.
696 - 715
Publisher
Applied Probability Trust
Subject
Extreme value theory; g-and-h distribution; operational risk; peaks over threshold; penultimate approximation; second-order regular variation; slow variation; value at risk
Organisational unit
03288 - Embrechts, Paul (emeritus)  
Notes
Received 28 February 2008. revision received 16 April 2008.
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