Revisiting the Edge, Ten Years On

Abstract

When these lines are written, it is January 21, 2008, a further “Black Monday” on the international markets. Stock indices have fallen between 5 and 10%. Which statistical tools help in describing such events and may help in understanding the consequences? In this article we update our knowledge on the modeling of extremal events, in particular with a view toward applications to finance, insurance, and risk management.

Keywords:

• Aggregation
• Banking regulation
• Copula
• Dependence
• Extreme value theory
• Operational risk
• Quantile estimation
• Value-at-risk

Mathematics Subject Classification:

• 60G70
• 62G32
• 91B28

Acknowledgment

The authors thank the referees for some critical comments on an earlier version of the article.