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les résultats révèlent les avantages considérables de la reconstitution par l'obtention d'estimations de quantiles de sécheresse plus précises et plus extrêmes.
the results reveal considerable benefits from the reconstruction through more precise, and more extreme, estimates of drought quantiles.
plus important encore, il a été montré que la persistance augmente dramatiquement l'incertitude associée avec l'estimation des quantiles de crues.
more importantly, persistence is shown to dramatically increase the uncertainty associated with estimated flood quantiles.
d'autres combinaisons de quantiles peuvent être mise en oeuvre selon l'invention, notamment les combinaisons de quantiles composées d'une somme de différences de quantiles.
other combinations of quantiles can be implemented according to the invention, notably the combination of quantiles composed of a sum of quantile differences.
panel 2 shows the frontier constructed from the quantiles of the data and the frontier resulting from var estimated with a normal distribution. panels 3 and 4 compare the frontiers for three models, var with normality, var with evt methods, and es with evt methods.
publications and research research working papers 2006 title risk-cost frontier and collateral valuation in securities settlement systems for extreme market events author alejandro garcía and ramazan gençay type working paper 2006-17 date of publication may 2006 language english abstract the authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral.