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Abstract:
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In this talk I will review methods from extreme value analysis with applications to risk assessment in finance. It covers three main methodological paradigms: the classical framework for independent and identically distributed data with application to risk estimation for market loss data, the multivariate framework for cross-sectional dependent data with application to systemic risk, and the methods for stationary serially dependent data applied to dynamic risk management. The talk will be addressed to statisticians with interest in financial risk management who are not familiar with extreme value analysis.
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