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Full-Text Articles in Statistical Methodology
Statistical Methods On Risk Management Of Extreme Events, Zijing Zhang
Statistical Methods On Risk Management Of Extreme Events, Zijing Zhang
Doctoral Dissertations
The goal of the dissertation is the investigation of financial risk analysis methodologies, using the schemes for extreme value modeling as well as techniques from copula modeling. Extreme value theory is concerned with probabilistic and statistical questions re- lated to unusual behavior or rare events. The subject has a rich mathematical theory and also a long tradition of applications in a variety of areas. We are interested in its application in risk management, with a focus on estimating and forcasting the Value-at-Risk of financial time series data. Extremal data are inherently scarce, thus making inference challenging. In order to obtain …