Extreme events in finance : a handbook of extreme value theory and its applications /: a handbook of extreme value theory and its applications. (2016)

• Record Type: Book
• Further Information: Note: Edited by Francois Longin.
• Editors: Longin, François Michel, 1968-
• Contents: 1. Introduction; François Longin 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 Final words 1.8 Thank you note References 2. Extremes under Dependence - historical development and parallels with central limit theory; Ross Leadbetter 2.1 Introduction 2.2 Classical (iid) Central Limit and Extreme Value Theories 2.3 Exceedances of levels, kth largest values 2.4 CLT and EVT for stationary sequences, Bernstein’s blocks, Strong mixing 2.5 Weak distributional mixing for EVT, D(un), Extremal Index 2.6 Point process of level exceedances 2.7Continuous parameter extremes 2.8 References 3. The Extreme Value Problem in Finance: Comparing the Pragmatic Programme with the Mandelbrot Programme; Christian Walter 3.1 The extreme value puzzle in financial modelling 3.2 The Sato classification and the two programmes 3.3 Mandelbrot’s programme: a fractal approach 3.4 The pragmatic programme: a data-driven approach 3.5 Conclusion References 4. Extreme Value Theory: An Introductory Overview; Isabel Fraga Alves and Cláudia Neves 4.1 Introduction 4.2 Univariate Case 4.3 Multivariate Case – some highlights 4.4 Further reading Acknowledgements References 5. The estimation of the extreme value index; Jan Beirlant, Klaus Herrmann, and Jozef Teugels 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 bias reduced estimation 5.6 The case study 5.7 Other topics and comments References 6. Bootstrap methods in statistics of extremes; Ivette Gomes, Frederico Caeiro, Lígia Henriques-Rodrigues, and B.G. Manjunath 6.1 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 References 7. Extreme values statistics for Markov chains with applications to Finance and Insurance; Patrice Bertail, Stéphan Clémençon, and Charles Tillier 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 7.7 Applications to ruin theory and Financial time series 7.8 An application to the CAC40 7.9 Conclusion References 8. Lévy Processes and Extreme Value Theory; Olivier Le Courtois and Christian Walter 8.1 Introduction 8.2 Extreme Value Theory 8.3 Infinite Divisibility and Lévy Processes 8.4 Heavy-Tailed Lévy Processes 8.5 Semi-Heavy Tailed Lévy Processes 8.6 Lévy Processes and Extreme Values 8.7 Conclusion References 9. Statistics of Extremes: Challenges and Opportunities; Miguel de Carvalho 9.1 Introduction 9.2 Statistics of Bivariate Extremes 9.3 Models Based on Families of Tilted Measures 9.4 Miscellanea References 10. Measures of financial risk; Serguei Novak 10.1 Introduction 10.2 Traditional measures of risk 10.3 Risk estimation 10.4 “Technical Analysis” of financial data 10.5 Dynamic risk measurement 10.6 Open problems References 11. On the estimation of the distribution of aggregated heavy tailed risks. Application to risk measures; Marie Kratz 11.1 Introduction 11.2 A brief review of existing methods 11.3 New approaches - mixed limit theorems 11.4 Application to risk measures and comparison 11.5 Conclusion References 12. Estimation methods for Value at Risk; Saralees Nadarajah and Stephen Chan 12.1 Introduction 12.2 General properties 12.3 Parametric methods 12.4 Nonparametric methods 12.5 Semiparametric methods 12.6 Computer software 12.7 Conclusions Acknowledgments References 13. Comparing Tail Risk and Systemic Risk Profiles for Different Types of US Financial Institutions; Stefan Straetmans and Thanh Thi Huyen Dinh 13.1 Introduction 13.2 Tail risk and Systemic risk Indicators 13.3 Tail risk and systemic risk estimation 13.4 Empirical results 13.5 Conclusions References 14. Extreme Value Theory and Credit Spreads; Wesley Phoa 13.1 Preliminaries 13.2 Tail behavior of credit markets 13.3 Some multivariate analysis 13.4 Approximating value-at-risk for credit portfolios 13.5 Other directions References 15. Extreme Value Theory and Risk Management in Electricity Markets; Kam Fong Chan and Philip Gray 15.1 Introduction 15.2 Prior Literature 15.3 Specification of VaR Estimation Approaches 15.4 Empirical Analysis 15.5 Conclusion References 16. Margin Setting and Extreme Value Theory; John Cotter and Kevin Dowd 16.1 Introduction 16.2 Margin Setting 16.3 Theory and Methods 16.4 Empirical Results 16.5 Conclusions References 17. The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation; Geoffrey Booth and John Paul Broussard 17.1 Introduction 17.2 Data Definitions and Description 17.3 The Performance Ratios and Their Estimations 17.4 Performance Measurement Results and Implications 17.5 Concluding Remarks References 18. Portfolio Insurance: the Extreme Value Approach Applied to the CPPI Method; Philippe Bertrand and Jean-Luc Prigent 18.1 Introduction 18.2 The CPPI method 18.3 CPPI and Quantile Hedging 18.4 Conclusion References 19. The choice of the distribution of asset returns: How extreme value theory can help?; François Longin Introduction 19.1 Extreme value theory 19.2 Estimation of the tail index 19.3 Application of extreme value theory to discriminate among distributions of returns 19.4 Empirical results 19.5 Conclusion References Appendix 20. Protecting Assets Under Non-Parametric Market Conditions; Jean-Marie Choffray et Charles Pahud de Mortanges 20.1 Investors “Known knowns” 20.2 Investors “Known unknowns” 20.3 Investors “Unknown knowns” 20.4 Investors “Unknown unknowns” References 21. EVT seen by a vet: A practitioner's experience on extreme value theory; Jean-François Boulier 21.1 What has
• Edition: 1st
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2016
• Extent: 1 online resource
• Subjects: 332.015195; Finance -- Mathematical models; Extreme value theory -- Mathematical models
• Languages: English
• ISBNs: 9781118650202; 9781118650295; 9781118650332
• Related ISBNs: 9781118650196
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
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