Extremes and Integrated Risk Management

Publication Date	July 2000
Publisher	Risk Books
Product Type	Book
Pages	297
ISBN Number	189933274X
Product Code	RIS00292

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Summary

Provides a comprehensive overview of extreme value theory from a financial perspective
Expert academics examine the recent developments in the modelling of extreme events
Offers an extension of traditional VAR methodologies and provides analysis of abnormal distribution at the end of the curve
Examines the patterns and likelihood of the occurrence of extreme events
Contributions selected and introduced by the leading academic in the field, Paul Embrechts of Federal Institute of Technology (ETH), Zurich

Content

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
  - Franois 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 Rootzn 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