Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.
McNeil, R\"udiger Frey, and Paul Embrechts
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Bayesian Extreme Value Theory with Hawkes-AR-Gumbel Dependence for Extreme CVaR Estimation in Operational Risk
Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.