Coherent Measures of Risk, Mathematical Finance, vol.9, issue.3, pp.203-228, 1999. ,
DOI : 10.1111/1467-9965.00068
Kernel estimators of extreme level curves, TEST, vol.73, issue.2, pp.311-333, 2011. ,
DOI : 10.1007/s11749-010-0196-0
URL : https://hal.archives-ouvertes.fr/inria-00393588
A moving window approach for nonparametric estimation of the conditional tail index, Journal of Multivariate Analysis, vol.99, issue.10, pp.2368-2388, 2008. ,
DOI : 10.1016/j.jmva.2008.02.023
URL : https://hal.archives-ouvertes.fr/inria-00124637
Value at risk: the new benchmark for managing financial risk, 2007. ,
On Estimation of a Probability Density Function and Mode, The Annals of Mathematical Statistics, vol.33, issue.3, pp.1076-1109, 1962. ,
DOI : 10.1214/aoms/1177704472
Optimization of conditional value-at-risk, The Journal of Risk, vol.2, issue.3, pp.21-42, 2000. ,
DOI : 10.21314/JOR.2000.038
Remarks on some nonparametric estimates of a density function. The Annals of Mathematical Statistics, pp.832-837, 1956. ,
Tail conditional variance for elliptically contoured distributions, Belgian Actuarial Bulletin, vol.5, pp.26-36, 2005. ,
Estimation of parameters and large quantiles based on the k largest observations, Journal of the American Statistical Association, vol.73, pp.812-815, 1978. ,