Extreme value theory is a branch of statistics dealing with the extreme deviations from the mean of probability distributions. Extreme value theory is important for assessing risk for highly unusual events, such as 100-year floods.
Applications of extreme value theory:
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- Gumbel, E.J.(1958). Statistics of Extremes. Columbia University Press.
- Easy non-mathematical introduction
- Extreme value theory group at Chalmers University
- The Extreme Value Approach to VaR ? An Introduction
- Extreme Value Theory for Tail-Related Risk Measures
- Extreme value theory an empirical analysis of equity risk