{"product_id":"extreme-events-in-finance-9781118650196","title":"Extreme Events in Finance","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eA 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 and a practical understanding of market behavior including both ordinary and extraordinary conditions.    Beginning with a fascinating history of EVTs and financial 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 includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk managementTopical discussions on univariate and multivariate case extremes as well as regulation in financial marketsExtensive references in order to provide readers with resources for further studyDiscussions 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eAbout the Editor xiii\u003c\/p\u003e \u003cp\u003eAbout the Contributors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction 1\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eFrançois Longin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1.1 Extremes 1\u003c\/p\u003e \u003cp\u003e1.2 History 2\u003c\/p\u003e \u003cp\u003e1.3 Extreme value theory 2\u003c\/p\u003e \u003cp\u003e1.4 Statistical estimation of extremes 2\u003c\/p\u003e \u003cp\u003e1.5 Applications in finance 4\u003c\/p\u003e \u003cp\u003e1.6 Practitioners’ points of view 6\u003c\/p\u003e \u003cp\u003e1.7 A broader view on modeling extremes 6\u003c\/p\u003e \u003cp\u003e1.8 Final words 7\u003c\/p\u003e \u003cp\u003e1.9 Thank you note 7\u003c\/p\u003e \u003cp\u003eReferences 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Extremes Under Dependence—Historical Development and Parallels with Central Limit Theory 11\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eM.R. Leadbetter\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 11\u003c\/p\u003e \u003cp\u003e2.2 Classical (I.I.D.) central limit and extreme value theories 12\u003c\/p\u003e \u003cp\u003e2.3 Exceedances of levels, kth largest values 14\u003c\/p\u003e \u003cp\u003e2.4 CLT and EVT for stationary sequences, bernstein’s blocks, and strong mixing 15\u003c\/p\u003e \u003cp\u003e2.5 Weak distributional mixing for EVT, D(un), extremal index 18\u003c\/p\u003e \u003cp\u003e2.6 Point process of level exceedances 19\u003c\/p\u003e \u003cp\u003e2.7 Continuous parameter extremes 20\u003c\/p\u003e \u003cp\u003eReferences 22\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program 25\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eChristian Walter\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e3.1 The extreme value puzzle in financial modeling 25\u003c\/p\u003e \u003cp\u003e3.2 The sato classification and the two programs 28\u003c\/p\u003e \u003cp\u003e3.3 Mandelbrot’s program: A fractal approach 34\u003c\/p\u003e \u003cp\u003e3.4 The Pragmatic Program: A data-driven approach 39\u003c\/p\u003e \u003cp\u003e3.5 Conclusion 47\u003c\/p\u003e \u003cp\u003eAcknowledgments 48\u003c\/p\u003e \u003cp\u003eReferences 48\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Extreme Value Theory: An Introductory Overview 53\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eIsabel Fraga Alves and Cláudia Neves\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 53\u003c\/p\u003e \u003cp\u003e4.2 Univariate case 56\u003c\/p\u003e \u003cp\u003e4.3 Multivariate case: Some highlights 84\u003c\/p\u003e \u003cp\u003eFurther reading 90\u003c\/p\u003e \u003cp\u003eAcknowledgments 90\u003c\/p\u003e \u003cp\u003eReferences 90\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Estimation of the Extreme Value Index 97\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBeirlant J., Herrmann K., and Teugels J.L.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 97\u003c\/p\u003e \u003cp\u003e5.2 The main limit theorem behind extreme value theory 98\u003c\/p\u003e \u003cp\u003e5.3 Characterizations of the max-domains of attraction and extreme value index estimators 99\u003c\/p\u003e \u003cp\u003e5.4 Consistency and asymptotic normality of the estimators 103\u003c\/p\u003e \u003cp\u003e5.5 Second-order reduced-bias estimation 104\u003c\/p\u003e \u003cp\u003e5.6 Case study 106\u003c\/p\u003e \u003cp\u003e5.7 Other topics and comments 108\u003c\/p\u003e \u003cp\u003eReferences 111\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Bootstrap Methods in Statistics of Extremes 117\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eM. Ivette Gomes, Frederico Caeiro, Lígia Henriques-Rodrigues, and B.G. Manjunath\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 117\u003c\/p\u003e \u003cp\u003e6.2 A few details on EVT 119\u003c\/p\u003e \u003cp\u003e6.3 The bootstrap methodology in statistics of univariate extremes 127\u003c\/p\u003e \u003cp\u003e6.4 Applications to simulated data 133\u003c\/p\u003e \u003cp\u003e6.5 Concluding remarks 133\u003c\/p\u003e \u003cp\u003eAcknowledgments 135\u003c\/p\u003e \u003cp\u003eReferences 135\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance 139\u003c\/b\u003e\u003cbr\u003e\u003ci\u003ePatrice Bertail, Stéphan Clémençon, and Charles Tillier\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 139\u003c\/p\u003e \u003cp\u003e7.2 On the (pseudo) regenerative approach for markovian data 141\u003c\/p\u003e \u003cp\u003e7.3 Preliminary results 151\u003c\/p\u003e \u003cp\u003e7.4 Regeneration-based statistical methods for extremal events 154\u003c\/p\u003e \u003cp\u003e7.5 The extremal index 156\u003c\/p\u003e \u003cp\u003e7.6 The regeneration-based hill estimator 159\u003c\/p\u003e \u003cp\u003e7.7 Applications to ruin theory and financial time series 161\u003c\/p\u003e \u003cp\u003e7.8 An application to the CAC40 165\u003c\/p\u003e \u003cp\u003e7.9 Conclusion 167\u003c\/p\u003e \u003cp\u003eReferences 167\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Lévy Processes and Extreme Value Theory 171\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eOlivier Le Courtois and Christian Walter\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction 171\u003c\/p\u003e \u003cp\u003e8.2 Extreme value theory 173\u003c\/p\u003e \u003cp\u003e8.3 Infinite divisibility and Lévy processes 178\u003c\/p\u003e \u003cp\u003e8.4 Heavy-tailed Lévy processes 182\u003c\/p\u003e \u003cp\u003e8.5 Semi-heavy-tailed Lévy processes 184\u003c\/p\u003e \u003cp\u003e8.6 Lévy processes and extreme values 187\u003c\/p\u003e \u003cp\u003e8.7 Conclusion 192\u003c\/p\u003e \u003cp\u003eReferences 192\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Statistics of Extremes: Challenges and Opportunities 195\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eM. de Carvalho\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction 195\u003c\/p\u003e \u003cp\u003e9.2 Statistics of bivariate extremes 196\u003c\/p\u003e \u003cp\u003e9.3 Models based on families of tilted measures 204\u003c\/p\u003e \u003cp\u003e9.4 Miscellanea 209\u003c\/p\u003e \u003cp\u003eReferences 211\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Measures of Financial Risk 215\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eS.Y. Novak\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction 215\u003c\/p\u003e \u003cp\u003e10.2 Traditional measures of risk 215\u003c\/p\u003e \u003cp\u003e10.3 Risk estimation 218\u003c\/p\u003e \u003cp\u003e10.4 “Technical analysis” of financial data 222\u003c\/p\u003e \u003cp\u003e10.5 Dynamic risk measurement 226\u003c\/p\u003e \u003cp\u003e10.6 Open problems and further research 234\u003c\/p\u003e \u003cp\u003e10.7 Conclusion 235\u003c\/p\u003e \u003cp\u003eAcknowledgment 235\u003c\/p\u003e \u003cp\u003eReferences 235\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures 239\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eMarie Kratz\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 239\u003c\/p\u003e \u003cp\u003e11.2 A brief review of existing methods 245\u003c\/p\u003e \u003cp\u003e11.3 New approaches: Mixed limit theorems 247\u003c\/p\u003e \u003cp\u003e11.4 Application to risk measures and comparison 269\u003c\/p\u003e \u003cp\u003e11.5 Conclusion 277\u003c\/p\u003e \u003cp\u003eReferences 279\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Estimation Methods for Value at Risk 283\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eSaralees Nadarajah and Stephen Chan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 283\u003c\/p\u003e \u003cp\u003e12.2 General properties 289\u003c\/p\u003e \u003cp\u003e12.3 Parametric methods 300\u003c\/p\u003e \u003cp\u003e12.4 Nonparametric methods 326\u003c\/p\u003e \u003cp\u003e12.5 Semiparametric methods 332\u003c\/p\u003e \u003cp\u003e12.6 Computer software 344\u003c\/p\u003e \u003cp\u003e12.7 Conclusions 347\u003c\/p\u003e \u003cp\u003eAcknowledgment 347\u003c\/p\u003e \u003cp\u003eReferences 347\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions 357\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eStefan Straetmans and Thanh Thi Huyen Dinh\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction 357\u003c\/p\u003e \u003cp\u003e13.2 Tail risk and systemic risk indicators 361\u003c\/p\u003e \u003cp\u003e13.3 Tail risk and systemic risk estimation 364\u003c\/p\u003e \u003cp\u003e13.4 Empirical results 368\u003c\/p\u003e \u003cp\u003e13.5 Conclusions 381\u003c\/p\u003e \u003cp\u003eReferences 382\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Extreme Value Theory and Credit Spreads 391\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eWesley Phoa\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e14.1 Preliminaries 391\u003c\/p\u003e \u003cp\u003e14.2 Tail behavior of credit markets 394\u003c\/p\u003e \u003cp\u003e14.3 Some multivariate analysis 398\u003c\/p\u003e \u003cp\u003e14.4 Approximating value at risk for credit portfolios 401\u003c\/p\u003e \u003cp\u003e14.5 Other directions 403\u003c\/p\u003e \u003cp\u003eReferences 404\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Extreme Value Theory and Risk Management in Electricity Markets 405\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eKam Fong Chan and Philip Gray\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction 405\u003c\/p\u003e \u003cp\u003e15.2 Prior literature 407\u003c\/p\u003e \u003cp\u003e15.3 Specification of VaR estimation approaches 409\u003c\/p\u003e \u003cp\u003e15.4 Empirical analysis 413\u003c\/p\u003e \u003cp\u003e15.5 Conclusion 422\u003c\/p\u003e \u003cp\u003eAcknowledgment 423\u003c\/p\u003e \u003cp\u003eReferences 423\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Margin Setting and Extreme Value Theory 427\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eJohn Cotter and Kevin Dowd\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e16.1 Introduction 427\u003c\/p\u003e \u003cp\u003e16.2 Margin setting 428\u003c\/p\u003e \u003cp\u003e16.3 Theory and methods 430\u003c\/p\u003e \u003cp\u003e16.4 Empirical results 434\u003c\/p\u003e \u003cp\u003e16.5 Conclusions 439\u003c\/p\u003e \u003cp\u003eAcknowledgment 440\u003c\/p\u003e \u003cp\u003eReferences 440\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation 443\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eG. Geoffrey Booth and John Paul Broussard\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e17.1 Introduction 443\u003c\/p\u003e \u003cp\u003e17.2 Data definitions and description 446\u003c\/p\u003e \u003cp\u003e17.3 Performance ratios and their estimations 451\u003c\/p\u003e \u003cp\u003e17.4 Performance measurement results and implications 456\u003c\/p\u003e \u003cp\u003e17.5 Concluding remarks 460\u003c\/p\u003e \u003cp\u003eAcknowledgments 461\u003c\/p\u003e \u003cp\u003eReferences 461\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method 465\u003c\/b\u003e\u003cbr\u003e\u003ci\u003ePhilippe Bertrand and Jean-Luc Prigent\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e18.1 Introduction 465\u003c\/p\u003e \u003cp\u003e18.2 The CPPI method 467\u003c\/p\u003e \u003cp\u003e18.3 CPPI and quantile hedging 472\u003c\/p\u003e \u003cp\u003e18.4 Conclusion 481\u003c\/p\u003e \u003cp\u003eReferences 481\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 The Choice of the Distribution of Asset Returns: How Extreme Value Can Help? 483\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eFrançois Longin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e19.1 Introduction 483\u003c\/p\u003e \u003cp\u003e19.2 Extreme value theory 485\u003c\/p\u003e \u003cp\u003e19.3 Estimation of the tail index 488\u003c\/p\u003e \u003cp\u003e19.4 Application of extreme value theory to discriminate among distributions of returns 490\u003c\/p\u003e \u003cp\u003e19.5 Empirical results 493\u003c\/p\u003e \u003cp\u003e19.6 Conclusion 501\u003c\/p\u003e \u003cp\u003eReferences 501\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Protecting Assets Under Non-Parametric Market Conditions 507\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eJean-Marie Choffray and Charles Pahud de Mortanges\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e20.1 Investors’ “known knowns” 509\u003c\/p\u003e \u003cp\u003e20.2 Investors’ “known unknowns” 512\u003c\/p\u003e \u003cp\u003e20.3 Investors’ “unknown knowns” 515\u003c\/p\u003e \u003cp\u003e20.4 Investors’ “unknown unknowns” 518\u003c\/p\u003e \u003cp\u003e20.5 Synthesis 522\u003c\/p\u003e \u003cp\u003eReferences 523\u003c\/p\u003e \u003cp\u003e\u003cb\u003e21 EVT Seen by a Vet: A Practitioner’s Experience on Extreme Value Theory 525\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eJean-François Boulier\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e21.1 What has the vet done? 525\u003c\/p\u003e \u003cp\u003e21.2 Why use EVT? 526\u003c\/p\u003e \u003cp\u003e21.3 What EVT could additionally bring to the party? 528\u003c\/p\u003e \u003cp\u003e21.4 A final thought 528\u003c\/p\u003e \u003cp\u003eReferences 528\u003c\/p\u003e \u003cp\u003e\u003cb\u003e22 The Robotization of Financial Activities: A Cybernetic Perspective 529\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eHubert Rodarie\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e22.1 An increasingly complex system 530\u003c\/p\u003e \u003cp\u003e22.2 Human error 532\u003c\/p\u003e \u003cp\u003e22.3 Concretely, what do we need to do to transform a company into a machine? 534\u003c\/p\u003e \u003cp\u003eReferences 543\u003c\/p\u003e \u003cp\u003e\u003cb\u003e23 Two Tales of Liquidity Stress 545\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eJacques Ninet\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e23.1 The french money market fund industry. How history has shaped a potentially vulnerable framework 546\u003c\/p\u003e \u003cp\u003e23.2 The 1992–1995 forex crisis 547\u003c\/p\u003e \u003cp\u003e23.3 Four mutations paving the way for another meltdown 549\u003c\/p\u003e \u003cp\u003e23.4 The subprime crisis spillover. How some MMFs were forced to lock and some others not 551\u003c\/p\u003e \u003cp\u003e23.5 Conclusion. What lessons can be drawn from these two tales? 552\u003c\/p\u003e \u003cp\u003eFurther Readings 553\u003c\/p\u003e \u003cp\u003e\u003cb\u003e24 Managing Operational Risk in the Banking Business – An Internal Auditor Point of View 555\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eMaxime Laot\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eFurther Reading 559\u003c\/p\u003e \u003cp\u003eReferences 560\u003c\/p\u003e \u003cp\u003eAnnexes 560\u003c\/p\u003e \u003cp\u003e\u003cb\u003e25 Credo Ut Intelligam 563\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eHenri Bourguinat and Eric Briys\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e25.1 Introduction 563\u003c\/p\u003e \u003cp\u003e25.2 “Anselmist” finance 563\u003c\/p\u003e \u003cp\u003e25.3 Casino or dance hall? 565\u003c\/p\u003e \u003cp\u003e25.4 Simple-minded diversification 566\u003c\/p\u003e \u003cp\u003e25.5 Homo sapiens versus homo economicus 568\u003c\/p\u003e \u003cp\u003eAcknowledgement 569\u003c\/p\u003e \u003cp\u003eReferences 569\u003c\/p\u003e \u003cp\u003e\u003cb\u003e26 Bounded Rationalities, Routines, and Practical as well as Theoretical Blindness: On the Discrepancy Between Markets and Corporations 571\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eLaurent Bibard\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e26.1 Introduction: Expecting the unexpected 571\u003c\/p\u003e \u003cp\u003e26.2 Markets and corporations: A structural and self-disruptive divergence of interests 572\u003c\/p\u003e \u003cp\u003e26.3 Making a step back from a dream: On people expectations 574\u003c\/p\u003e \u003cp\u003e26.4 How to disentangle people from a unilateral short-term orientation? 578\u003c\/p\u003e \u003cp\u003eReferences 580\u003c\/p\u003e \u003cp\u003eName Index 583\u003c\/p\u003e \u003cp\u003eSubject Index 593\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49528833966423,"sku":"9781118650196","price":124.4,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118650196.jpg?v=1731873202","url":"https:\/\/bookcurl.com\/products\/extreme-events-in-finance-9781118650196","provider":"Book Curl","version":"1.0","type":"link"}