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MEASURING RISK WITH EXTREME VALUE THEORY Richard L Smith 1 1 INTRODUCTION As nancial trading systems have b ecome more sophisticated, there has b een increased awareness of the dangers of very large losses. This awareness has b een heightened by a numb er of highly publicised catastrophic incidents |  Barings. In February 1995, the Singap ore subsidiary of this long-established British bank lost ab out $1.3 billion b ecause of the illegal