Volume 17, Issue 4

December 2014

Extremes in Finance

Issue Editor:

8 articles in this issue

Editorial: special issue on extremes in finance
Paul Embrechts
EditorialNotes 09 November 2014 Pages: 529 - 530
Portfolio risk assessment using multivariate extreme value methods
Sawsan Hilal
Ser-Huang Poon
Jonathan Tawn
OriginalPaper 10 June 2014 Pages: 531 - 556
The dynamic power law model
Bryan Kelly
OriginalPaper 24 June 2014 Pages: 557 - 583
Upper bounds on value-at-risk for the maximum portfolio loss
Robert Yuen
Stilian Stoev
OriginalPaper 03 August 2014 Pages: 585 - 614
The effect of aggregation on extremes from asymptotically independent light-tailed risks
Natalia Nolde
OriginalPaper 18 May 2014 Pages: 615 - 631
Using B-splines for nonparametric inference on bivariate extreme-value copulas
Eric Cormier
Christian Genest
Johanna G. Nešlehová
OriginalPaper 03 August 2014 Pages: 633 - 659
Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
M. Kratz
OriginalPaper 09 October 2014 Pages: 661 - 691
Bounds on total economic capital: the DNB case study
Kjersti Aas
Giovanni Puccetti
OriginalPaper 12 August 2014 Pages: 693 - 715

Search