(1) Department of Econometrics, University of Geneva and FAME, Geneva, Switzerland;(2) Mirabaud & Cie, Boulevard du Théatre 3, 1204 Geneva, Switzerland
Abstract:
Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios.
Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation
of extreme risk measures. The focus of the paper is on the use of extreme value theory to compute tail risk measures and the
related confidence intervals, applying it to several major stock market indices.