Towards the Integration of Extreme Values in Obtaining the Value-at-Risk

There is no doubt that risk management represents a core strategic challenge for credit institutions.

Author(s) :

Jean-Christophe Meyfredi

Professor of Finance, EDHEC Business School

Whether it involves credit risk, market risk or operational risk, banks aim to reduce the consequences of risk. Several tools and methods have been developed for that purpose. Nevertheless, there is a considerable residual share of risk that regulators would wish to have under complete control. In order to control the extent of this share of risk, it is necessary to use the most precise measurement tools.
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Towards the Integration of Extreme Values in Obtaining the Value-at-Risk...
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Type : Working paper
Date : le 01/09/2003
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

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