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Modeling Tail Behavior with Extreme Value Theory
Modeling Tail Behavior with Extreme Value Theory This article talks about the role that models played in the subprime meltdown and the subsequent crisis in the financial markets in general. The ...- Authors: Damon D Levine
- Date: Sep 2009
- Competency: External Forces & Industry Knowledge
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods