Go to content
UR Home

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.

Full text not available from this repository.

at publisher (via DOI)


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 ...


Export bibliographical data

Item type:Article
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:
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:34543
Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons