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.

Type: Working paper
Date: le 01/09/2003
Research Cluster : Finance

See Also

EDHEC partners KPMG on a new training programme for family businesses, Family Shift
News
- 25-10-2021
On 14 October, Benoît Arnaud, Director of Programmes at EDHEC Business School and Axel...
AGORA MEETS BERTRAND BADIE, POLITICAL SCIENTIST AND INTERNATIONAL RELATIONS SPECIALIST
News
- 21-10-2021
Agora students held another 'Rencontre de l'Agora' event on Wednesday 19 October, this...
Eiffel Excellence Scholarship: the most prestigious French scholarship you can get
News
- 21-10-2021
Mikhail Miroshnichenko joined EDHEC MiM Finance after his Bachelor’s degree in...
EDHEC-Auchan Learning Partnership: Retail industry transformations at the heart of EDHEC International BBA learning
News
- 20-10-2021
Auchan is joining forces with EDHEC to share its retail industry expertise with EDHEC...