CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

Extreme Value Theory as a Risk Management Tool

Paul Embrechts, Sidney I. Resnick, Gennady Samorodnitsky · North American Actuarial Journal · 1999 · 472 citations

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A Study of Financial Analysts: Practice and Theory

Stanley B. Block · Financial Analysts Journal · 1999 · 243 citations

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The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Marco Moscadelli · SSRN Electronic Journal · 2004 · 233 citations · Full text

Business, Finance, Risk Management +17

High volatility, thick tails and extreme value theory in value-at-risk estimation

Ramazan Gençay, Faruk Selçuk∥, Abdurrahman Ulugülyağcı · Insurance Mathematics and Economics · 2003 · 168 citations

Business, Economics, Finance +17