EXTREME VALUE THEORY IN FINANCE: A SURVEY
综述极值理论在金融中的应用，包括检验数据分布假设、计算风险价值与预期亏损、安全优先资产配置以及市场压力下的传染与依赖性研究。
Abstract Extreme value theory is concerned with the study of the asymptotic distribution of extreme events, that is to say events which are rare in frequency and huge in magnitude with respect to the majority of observations. Statistical methods derived from it have been employed increasingly in finance, especially for risk measurement. This paper surveys some of those main applications, namely for testing different distributional assumptions for the data, for Value‐at‐Risk and Expected Shortfall calculations, for asset allocation under safety‐first type constraints, and for the study of contagion and dependence across markets under conditions of stress.