Project CEMAPRE internal
| Title | Clustering Extreme Values |
| Participants | João Nicolau (Principal Investigator) |
| Summary | Extreme value clustering often occurs during financial crises when large losses or gains are not isolated but come in sequences, indicating periods of heightened market stress or exuberance. This helps in identifying and understanding the dynamics of systemic risks. Recognizing the clustering of extreme events enables more accurate modeling of tail risks, essential for setting capital reserves and developing robust risk management strategies. Incorporating clustering into predictive models enhances their accuracy in estimating extreme outcomes |