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
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