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Extreme Events in Finance : A Handbook of Extreme Value Theory and Its Applications. 金融における極端な出来事－極値理論とその応用ハンドブック
・ISBN 978-1-118-65019-6 2017 hard US$ 172.95
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-118-65031-8
| 著者・編者 | Longin, Francois (ed.), |
|---|---|
| シリーズ | Wiley Handbooks in Financial Engineering and Econometrics |
| 出版社 | (Wiley, US) |
| ページ数 | 632 pp. |
| 言語 | ENG |
| ニュース番号 | ＜635-531 635-L310＞ |
解説
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 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 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.