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

Contributor(s):

Longin, Francois [Editor]

Material type: Text

TextSeries: Wiley Handbooks in Financial Engineering and EconometricsPublication details: John Wiley & Sons, Inc. 2017 New JerseyDescription: 601pISBN:

9781118650196

Subject(s):

Finance - Mathematical Models

DDC classification:

332.01 EXT

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.01 EXT (Browse shelf(Opens below))	Available		M0033104

Total holds: 0

1. Introduction
2. Extremes Under Dependence-Historical Development and Parallels with Central Limit Theory
3. The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program
4. Extreme Value Theory: An Introductory Overview
5. Estimation of the Extreme Value Index
6. Bootstrap Methods in Statistics of Extremes
7. Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance
8. Levy Processes and Extreme Value Theory
9. Statistics of Extremes: Challenges and Opportunities
10. Measures of Financial Risk
11. On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures
12. Estimation Methods for Value at Risk
13. Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions
14. Extreme Value Theory and Credit Spreads
15. Extreme Value Theory and Risk Management in Electricity Markets
16. Margin Setting and Extreme Value Theory
17. The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation
18. Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method
19. The Choice of the Distribution of Asset Returns: How Extreme Value Can Help?
20. Protecting Assets Under Non-Parametric Market Conditions
21. EVT Seen by a Vet: A Practitioner’s Experience on Extreme Value Theory
22. The Robotization of Financial Activities: A Cybernetic Perspective
23. Two Tales of Liquidity Stress
24. Managing Operational Risk in the Banking Business - An Internal Auditor Point of View
25. Credo Ut Intelligam
26. Bounded Rationalities, Routines, and Practical as well as Theoretical Blindness: On the Discrepancy Between Markets and Corporations

There are no comments on this title.

to post a comment.