Login

Longin, Francois

Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications

Longin, Francois - Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications, ebook

155,00€

Ebook, ePUB with Adobe DRM
ISBN: 9781118650202
DRM Restrictions

Printing192 pages with an additional page accrued every 4 hours, capped at 192 pages
Copy to clipboard5 excerpts

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 and a practical understanding of market behavior including both ordinary and extraordinary conditions.

Beginning with a fascinating history of EVTs and financial 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 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.

François Longin, PhD, is Professor in the Department of Finance at ESSEC Business School, France. He has been working on the applications of extreme value theory to financial markets for many years, and his research has been applied by financial institutions in the risk management area including market, credit, and operational risks. His research works can be found in scientific journals such as The Journal of Finance. Dr. Longin is currently a financial consultant with expertise covering risk management for financial institutions and portfolio management for asset management firms.

Keywords:

extreme value theory, extreme events, finance, stock market, insurance, statistics, business, economics, risk management, asset management, stock market crash, stock market boom, financial engineering, financial modeling, tail index, extreme value index, volatility, financial asset pricing, financial markets

, Statistics for Finance, Business & Economics
Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2016
Language
en
Edition
1
Series
Wiley Handbooks in Financial Engineering and Econometrics
Page amount
640 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781118650202
Printed ISBN
9781118650196

Similar titles