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Extreme Events in Finance : A Handbook of Extreme Value Theory and Its Applications (Hardcover)

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

Beginning with a fascinating history of EVTs and financials 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 also 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.
Number of Pages: 544
Genre: Business + Money Management
Sub-Genre: Finance
Series Title: Wiley Handbooks in Financial Engineering and Econometrics
Format: Hardcover
Publisher: John Wiley & Sons Inc
Author: Francois Longin
Language: English
Street Date: October 17, 2016
TCIN: 51859410
UPC: 9781118650196
Item Number (DPCI): 248-35-8037
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$142.50
MSRPReg: $150.00 Save $7.50 (5% off)
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