03144nam 2200649Ia 450 991081491750332120200520144314.00-429-09383-71-280-12191-297866135257721-4398-3575-610.1201/b11537 (CKB)2550000000079554(EBL)840385(OCoLC)774956310(SSID)ssj0000584958(PQKBManifestationID)11364512(PQKBTitleCode)TC0000584958(PQKBWorkID)10592712(PQKB)11473517(MiAaPQ)EBC840385(Au-PeEL)EBL840385(CaPaEBR)ebr10524996(CaONFJC)MIL352577(EXLCZ)99255000000007955420110722d2012 uy 0engur|n|---|||||txtccrExtreme value methods with applications to finance /Serguei Y. Novak1st ed.Boca Raton, FL CRC Pressc20121 online resource (397 p.)Monographs on statistics and applied probability ;122Description based upon print version of record.1-4398-3574-8 Includes bibliographical references.Front Cover; Detication; Contents; Preface; Introduction; List of Conventions; List of Abbreviations; Author; Part I: Distribution of Extremes; 1. Methods of Extreme Value Theory; 2. Maximum of Partial Sums; 3. Extremes in Samples of Random Size; 4. Poisson Approximation; 5. Compound Poisson Approximation; 6. Exceedances of Several Levels; 7. Processes of Exceedances; 8. Beyond Compound Poisson; Part II: Statistics of Extremes; 9. Inference on Heavy Tails; 10. Value-at-Risk; 11. Extremal Index; 12. Normal Approximation; 13. Lower Bounds; 14. Appendix; ReferencesExtreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster apMonographs on statistics and applied probability ;122.FinanceMathematical modelsFinancial riskMathematical modelsExtreme value theoryMathematical modelsFinanceMathematical models.Financial riskMathematical models.Extreme value theoryMathematical models.332.01/5195Novak Serguei Y1617432MiAaPQMiAaPQMiAaPQBOOK9910814917503321Extreme value methods with applications to finance3948601UNINA