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Extremes and Integrated Risk Management

Edited By Professor Paul Embrechts

Overview

The first core reference on the latest developments in extreme value theory and its application in the finance and insurance industry.

Publish date: 3 Jul 2000

Availability: In stock

£145.00
OR

Book description

  • Provides a comprehensive overview of extreme value theory from a financial perspective
  • Expert academics examine the recent developments in the modelling of extreme events
  • Offers an extension of traditional VAR methodologies and provides analysis of abnormal distribution at the end of the curve
  • Examines the patterns and likelihood of the occurrence of extreme events
  • Contributions selected and introduced by the leading academic in the field, Paul Embrechts of Federal Institute of Technology (ETH), Zurich

Book details

ISBN
9781899332748
Publish date
3 Jul 2000
Format
Size
A4

Editor biography

Professor Paul Embrechts

Table of contents

CONTENTS

Introduction

Paul Embrechts

and

The Bell Curve is Wrong: So What

Paul Embrechts

BASIC EXTREME VALUE THEORY

1 Extreme Value Theory for Risk Managers

Alexander J. McNeil

2 Measuring Risk with Extreme Value Theory

Richard L. Smith

3 Adaptive Threshold Selection in Tail Index Estimation

Jan Beirlant and Gunther Matthys

4 Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

Francis X. Diebold, Til Schuermann and John D. Stroughair

5 Modelling Multivariate Extremes

Paul Embrechts, Laurens de Haan and Xin Huang

RISK MEASURES AND EXTREME VALUE THEORY

6 Correlation: Pitfalls and Alternatives

Paul Embrechts, Alex McNeil and Daniel Straumann

7 Thinking Coherently

Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath

APPLICATIONS TO FINANCE

8 Value-at-Risk and Extreme Returns

Jon Danielsson and Casper G. de Vries

9 Reading the Riskometer

Alexander J. McNeil

10 Extreme Value Theory: An Empirical Analysis of Equity Risk

John Gavin

11 From Value at Risk to Stress Testing: the Extreme Value Approach

François M. Longin

12 Is it Really Long Memory We See in Financial Returns?

Catalin Starica and Thomas Mikosch

13 Multivariate Extremes for Foreign Exchange Data

Catalin Starica

14 Spill-overs in Financial Markets

Stefan Straetmans

15 Modelling and Measuring Operational Risk

Marcelo Cruz, Rodney Coleman and Gerry Salkin

APPLICATIONS TO INSURANCE

16 Extreme Value Statistics and Wind Storm Losses: A Case Study

Holger Rootzén and Nader Tajvidi

17 Bayesian Risk Analysis

Richard L. Smith and Dougal Goodman

18 Developing Scenarios for Future Extreme Losses Using the POT Method

Alexander J. McNeil and Thomas Saladin

Testimonials

"Timely, well organised and up-to-date...this book is a must for all risk managers."

Daniel M. Dumas de Rauly, BNP Paribas Group

Customer Reviews

Average customer reviews for Extremes and Integrated Risk Management
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