Degen, Matthias et Embrechts, Paul, EVT-based estimation of risk capital and convergence of high quantiles, Advances in applied probability , 40(2), 2008, pp. 696-715
We discuss some issues regarding the accuracy of a quantile-based estimation of risk capital. In this context, extreme value theory (EVT) emerges naturally. The paper sheds some further light on the ongoing discussion concerning the use of a semi-parametric approach like EVT and the use of specific parametric models such as the g-and-h. In particular, we discusses problems and pitfalls evolving from such parametric models when using EVT and highlight the importance of the underlying second-order tail behavior.