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The regulator forces banks to assess their (intraday) liquidity risk in normal and stressed conditions see e.g. BCBS 144 principle 9. To me this sounds pretty much like a possible application of EVT to banking - not (!) asset - liquidity.

However, I find it hard to find referenes of an application of EVT to the liquidity of banks -especially something up-to-date. Can we collect some here?

EDIT: I found this thesis: Intraday liquidity risk estimation using transaction data: an extreme value theory approach. If I interpret the conclusions correctly then the result is rather mixed.

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  • $\begingroup$ I've always found it hard to get stable calibrations of EVT to data from the world of finance $\endgroup$ – Brian B Nov 14 '17 at 13:50
  • $\begingroup$ @BrianB I can see that for financial market data as well but does your remark hold for transaction data as well? As we discuss I would be interest to see a study. I will mention a thesis above that does this ... I wonder whether there is more material to read. $\endgroup$ – Ric Nov 14 '17 at 16:21

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