Extreme values in finance, telecommunications, and the environment

Collectif Chapman & Hall / CRC

424 pages, parution le 20/08/2003

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Résumé

Includes chapters written by leaders in the field: Richard Smith, Claudia Klüppelberg, Thomas Mikosch, Sid Resnick, Stuart Coles, Anne-Laure Fougéres, and Paul Embrechts
Covers main applications of extreme values in finance, insurance, the environment, and telecommunications
Provides a state-of-the-art review of extreme value theory and applications for newcomers and seasoned researchers
Presents results of comprehensive investigations into the extremal behavior of some of the most important continuous and discrete time series models of current interest in finance

Because of its potential to "predict the unpredictable," Extreme Value Theory (EVT) and its methodology are currently in the spotlight. EVT affords some insight into extreme tails and maxima where standard models have proved unreliable. This is achieved with semi-parametric models which only specify the distributional shapes of maxima or of extreme tails. The rationale for these models are very basic limit and stability arguments.

Bringing together world-recognized authorities, Extreme Values in Finance, Telecommunications, and the Environment puts to rest some of the myths and misconceptions of EVT. It explores the application, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The book reviews the way in which this paradigm can answer questions in climatology, insurance, and finance, covers parts of univariate extreme values theory, and discusses estimation, diagnostics, and multivariate extremes. It presents issues in data network modeling and examines aspects of Value-at-Risk (VaR) and its estimation based on EVT. The final chapter gives an overview of multivariate extreme value distributions and the problem of measuring extremal dependencies.

Considered one of the hottest ideas in risk management, EVT is designed to allow anyone faced with calculating risky situations to determine the chances of being hit with one or even multiple catastrophic events. It provides a statistical methodology for dealing with the prediction of events which are so rare that they appear impossible. Presenting information from the forefront of knowledge and research, Extreme Values in Finance, Telecommunications, and the Environment brings you up to speed on current issues and techniques in EVT.

Statistics of Extremes with Applications in Environment, Insurance and Finance
The Use and Misuse of Extreme Value Models in Practice
Risk Management with Extreme Value Theory
Extremes in Economics and the Economics of Extremes
Modeling Dependence and Tails for Financial Time Series
Modeling Data Networks
Multivariate Extremes

Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Chapman and Hall / CRC
Auteur(s)	Collectif Chapman & Hall / CRC
Parution	20/08/2003
Nb. de pages	424
Format	15,5 x 23,5
Couverture	Relié
Poids	720g
Intérieur	Noir et Blanc
EAN13	9781584884118
ISBN13	978-1-58488-411-8