Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45631 
Year of Publication: 
2011
Series/Report no.: 
KIT Working Paper Series in Economics No. 30
Publisher: 
Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON), Karlsruhe
Abstract: 
In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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