Search Results for extreme value theory

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This paper investigates the generalized parametric measurement methods of aggregate operational...

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across...

Amid increased size and complexity of the banking industry, operational risk has a greater...

The recent global financial crisis has forced a re-examination of risk transmission in the...

Little progress has been made so far in addressing-in a comprehensive way-the externalities...

This study uses bivariate extremal dependence measures, based on the number of equity return...