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The role of model risk in extreme value theory for capital adequacy

Scheule, Harald, Kellner, Ralf and Rösch, Daniel (2016) The role of model risk in extreme value theory for capital adequacy. Journal of Risk 18 (6), pp. 39-70.

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Abstract

In the recent literature, methods from extreme value theory (EVT) have frequently been applied to the estimation of tail risk measures. While previous analyses show that EVT methods often lead to accurate estimates for risk measures, a potential drawback lies in large standard errors of the point estimates in these methods, as only a fraction of the data set is used. Thus, we comprehensively ...

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Item type:Article
Date:2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Not selected
Research groups and research centres:Not selected
Identification Number:
ValueType
10.21314/JOR.2016.337DOI
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:34543
Owner only: item control page
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