Comparer des méthodes

	Théorie des Valeurs Extrêmes (TVE)	Valeur à Risque (VaR)
Domaine	Finance	Finance
Famille	Regression model	Regression model
Année d'origine	2001	2007
Auteur d'origine	Coles (textbook treatment); McNeil, Frey & Embrechts	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan
Type	Tail / extreme-event model	Financial risk measure
Source fondatrice	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598	Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956
Alias	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold	VaR, value-at-risk, delta-normal VaR, historical simulation VaR
Apparentées	5	5
Résumé	Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold.	Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework.