LEADER 07200nam 2200673 450 001 9910166634503321 005 20231213112111.0 010 $a1-118-65020-4 010 $a1-118-65033-6 010 $a1-118-65031-X 035 $a(CKB)4330000000006704 035 $a(EBL)4694621 035 $a(Au-PeEL)EBL4694621 035 $a(CaPaEBR)ebr11270171 035 $a(CaONFJC)MIL957441 035 $a(OCoLC)959277889 035 $a(CaSebORM)9781118650196 035 $a(MiAaPQ)EBC4694621 035 $a(PPN)240175840 035 $a(EXLCZ)994330000000006704 100 $a20161007h20172017 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 00$aExtreme events in finance $ea handbook of extreme value theory and its applications /$fedited by Francois Longin 210 1$aHoboken, New Jersey :$cWiley,$d2017. 210 4$dİ2017 215 $a1 online resource (638 p.) 225 1 $aWiley Handbooks in Financial Engineering and Econometrics 225 1 $aTHEi Wiley ebooks 300 $aDescription based upon print version of record. 311 $a1-118-65019-0 320 $aIncludes bibliographical references at the end of each chapters and indexes. 327 $aCover; Title Page; Copyright; Contents; About the Editor; About the Contributors; Chapter 1 Introduction; 1.1 Extremes; 1.2 History; 1.3 Extreme value theory; 1.4 Statistical estimation of extremes; 1.5 Applications in finance; 1.6 Practitioners' points of view; 1.7 A broader view on modeling extremes; 1.8 Final words; 1.9 Thank you note; References; Chapter 2 Extremes Under Dependence-Historical Development and Parallels with Central Limit Theory; 2.1 Introduction; 2.2 Classical (I.I.D.) central limit and extreme value theories; 2.3 Exceedances of levels, kth largest values 327 $a2.4 CLT and EVT for stationary sequences, bernstein's blocks and strong mixing2.5 Weak distributional mixing for EVT, D(un), extremal index; 2.6 Point process of level exceedances; 2.7 Continuous parameter extremes; References; Chapter 3 The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program; 3.1 The extreme value puzzle in financial modeling; 3.2 The sato classification and the two programs; 3.3 Mandelbrot's program: A fractal approach; 3.4 The Pragmatic Program: A data-driven approach; 3.5 Conclusion; Acknowledgments; References 327 $aChapter 4 Extreme Value Theory: An Introductory Overview4.1 Introduction; 4.2 Univariate case; 4.3 Multivariate case: Some highlights; Further reading; Acknowledgments; References; Chapter 5 Estimation of the Extreme Value Index; 5.1 Introduction; 5.2 The main limit theorem behind extreme value theory; 5.3 Characterizations of the max-domains of attraction and extreme value index estimators; 5.4 Consistency and asymptotic normality of the estimators; 5.5 Second-order reduced-bias estimation; 5.6 Case study; 5.7 Other topics and comments; References 327 $aChapter 6 Bootstrap Methods in Statistics of Extremes6.1 Introduction; 6.2 A few details on EVT; 6.3 The bootstrap methodology in statistics of univariate extremes; 6.4 Applications to simulated data; 6.5 Concluding remarks; Acknowledgments; References; Chapter 7 Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance; 7.1 Introduction; 7.2 On the (pseudo) regenerative approach for markovian data; 7.3 Preliminary results; 7.4 Regeneration-based statistical methods for extremal events; 7.5 The extremal index; 7.6 The regeneration-based hill estimator 327 $a7.7 Applications to ruin theory and financial time series7.8 An application to the CAC40; 7.9 Conclusion; References; Chapter 8 Le?vy Processes and Extreme Value Theory; 8.1 Introduction; 8.2 Extreme value theory; 8.3 Infinite divisibility and Le?vy processes; 8.4 Heavy-tailed Le?vy processes; 8.5 Semi-heavy-tailed Le?vy processes; 8.6 Le?vy processes and extreme values; 8.7 Conclusion; References; Chapter 9 Statistics of Extremes: Challenges and Opportunities; 9.1 Introduction; 9.2 Statistics of bivariate extremes; 9.3 Models based on families of tilted measures; 9.4 Miscellanea; References 327 $aChapter 10 Measures of Financial Risk 330 $a"A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions.  Beginning with a fascinating history of EVTs and financials modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques, and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications also includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets  Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities  The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance"--$cProvided by publisher. 330 $a"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"-- Provided by publisher. 410 0$aWiley handbooks in financial engineering and econometrics. 410 0$aTHEi Wiley ebooks. 606 $aFinance$xMathematical models 606 $aExtreme value theory$xMathematical models 615 0$aFinance$xMathematical models. 615 0$aExtreme value theory$xMathematical models. 676 $a332.015195 686 $aBUS033070$2bisacsh 702 $aLongin$b Franc?ois Michel$f1968- 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910166634503321 996 $aExtreme events in finance$91975836 997 $aUNINA