The occurrence of extreme events can challenge the capacity of water utilities to deliver potable water of sufficient quality with respect to minimising health risks to consumers. As a consequence, proactive risk-assessment and decision support tools are necessary to assist in managing and mitigating such critical events effectively. However, the utility of these tools can be limited due to the...

This paper compares a number of different extreme value models for determining the value at risk of three LIFFE futures contracts. A semi-nonparametric approach is also proposed where the tail events are modeled using the Generalised Pareto Distribution and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared w...

This paper introduces a conditional extreme value volatility estimator (EVT) based on highfrequency returns. The relative performance of the EVT is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized volatility. This is also a first attempt towards detecting any time-series variation in extreme value distributions using high-frequ...

Ingestion of batteries by children became more frequent in recent years, due to the increasing accessibility of electronic toys and devices to children. We report a fatal evolution of battery ingestion in a 2-month-old boy.Lithium battery ingestion is a serious condition with high risk of life-threatening complications in childhood and it can be fatal especially in extreme age, under 6 months. ...

We compare in a backtesting study the performance of univariate models for Value-at-Risk (VaR) and expected shortfall based on stable laws and on extreme value theory (EVT). Analyzing these different approaches, we are able to test if the sum–stability assumption or the max–stability assumption, that respectively imply α–stable laws and Generalized Extreme Value (GEV) distributions, is more sui...

It is common wisdom that the 9/11 terrorist attacks boosted political and financial uncertainty and resulted in severe stock market meltdowns in the months after the attacks. Taking a sectoral focus of the market for US common stock, we apply statistical extreme value analysis (EVT) to assess whether downside risk measures like Value-at-Risk (VaR) and extremal sector linkages were significantly...