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Extremes and Integrated Risk Management

Incisive Media, July 2000, Pages: 297


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The first core reference on the latest developments in extreme value theory and its application in the the finance and insurance industry

-Provides a comprehensive overview of extreme value theory from a financial perspective
-Expert academics examine the recent developments in the modelling of extremal 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

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