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100   $a20180331d2012      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aExtreme value methods with applications to finance /$fSerguei Y. Novak
210  1$aBoca Raton, Fla. :$cCRC Press,$d2012.
215   $a1 online resource (397 p.)
225 1 $aMonographs on statistics and applied probability ;$v122
300   $aDescription based upon print version of record.
311   $a1-4398-3574-8 
320   $aIncludes bibliographical references.
327   $aFront 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; References
330   $aExtreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster ap
410  0$aMonographs on statistics and applied probability ;$v122.
606   $aFinance$xMathematical models
606   $aFinancial risk$xMathematical models
606   $aExtreme value theory$xMathematical models
608   $aElectronic books.
615  0$aFinance$xMathematical models.
615  0$aFinancial risk$xMathematical models.
615  0$aExtreme value theory$xMathematical models.
676   $a332.01/5195
700   $aNovak$b Serguei Y.$0896644
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910457269803321
996   $aExtreme value methods with applications to finance$92003212
997   $aUNINA