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

Scheule, Harald ; Kellner, Ralf ; Rösch, Daniel


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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