Fondements de la théorie des valeurs extrêmes, ses principales applications et son apport à la gestion des risques du marché pétrolier

[摘要] For many years, Extreme value theory has received much attention on the theoretical level as well as on the practical one. The scope of its applications are indeed very varied and include hydrology, meteorology, biology, engineering, environmental management, finance, insurance, social life, etc. since risk management has become fundamental today in all these fields. However, this type of analysis based on the extreme value theory is little, even very limited to analyze the risks incurred on oil market whereas these techniques can undoubtedly help in a quantitative study of the risks. The increasing success of this theory in many fields encouraged us to better investigate its contribution to risk management of extreme fluctuations on crude oil market.

[学科分类] 数学（综合）

[关键词] crude oil;extreme value theory;generalized Pareto law;risk management;sensitivity analysis;value at risk