Skip to main content

The relativity of volatility

Extreme value theory (EVT) has proven its value as a risk management tool, butmost published work on EVT focuses on asset returns. Here, Turan Bali andSalih Neftci show how to use EVT to parameterise extreme levels of volatility,in an interest rates context

Download the article as a PDF (opens new browser window)

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Want to know what’s included in our free membership? Click here

Show password
Hide password

Most read articles loading...