Extremes and integrated risk management
著者
書誌事項
Extremes and integrated risk management
Risk Books, c2000
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注記
"Published in association with UBS Warburg"--Cover
Includes bibliographies and index
内容説明・目次
内容説明
Providing an overview of extreme value theory from a financial perspective, this book examines the recent developments in the modelling of extremal events. It also offers an extension of traditional VAR methodologies and provides analysis of abnormal distribution at the end of the curve.
目次
Extremes and Integrated Risk Management -------------------------------------------------------------------------------- CONTENTS Introduction Paul Embrechts and The Bell Curve is Wrong: So What Paul Embrechts BASIC EXTREME VALUE THEORY 1 Extreme Value Theory for Risk Managers Alexander J. McNeil 2 Measuring Risk with Extreme Value Theory Richard L. Smith 3 Adaptive Threshold Selection in Tail Index Estimation Jan Beirlant and Gunther Matthys 4 Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management Francis X. Diebold, Til Schuermann and John D. Stroughair 5 Modelling Multivariate Extremes Paul Embrechts, Laurens de Haan and Xin Huang RISK MEASURES AND EXTREME VALUE THEORY 6 Correlation: Pitfalls and Alternatives Paul Embrechts, Alex McNeil and Daniel Straumann 7 Thinking Coherently Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath APPLICATIONS TO FINANCE 8 Value-at-Risk and Extreme Returns Jon Danielsson and Casper G. de Vries 9 Reading the Riskometer Alexander J. McNeil 10 Extreme Value Theory: An Empirical Analysis of Equity Risk John Gavin 11 From Value at Risk to Stress Testing: the Extreme Value Approach Fran?ois M. Longin 12 Is it Really Long Memory We See in Financial Returns? Catalin Starica and Thomas Mikosch 13 Multivariate Extremes for Foreign Exchange Data Catalin Starica 14 Spill-overs in Financial Markets Stefan Straetmans 15 Modelling and Measuring Operational Risk Marcelo Cruz, Rodney Coleman and Gerry Salkin APPLICATIONS TO INSURANCE 16 Extreme Value Statistics and Wind Storm Losses: A Case Study Holger Rootz?n and Nader Tajvidi 17 Bayesian Risk Analysis Richard L. Smith and Dougal Goodman 18 Developing Scenarios for Future Extreme Losses Using the POT Method Alexander J. McNeil and Thomas Saladin
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