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Introduction Paul Embrechts |
xv | |
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The Bell Curve is Wrong: So What? Paul Embrechts |
xxv | |
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BASIC EXTREME VALUE THEORY |
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| 1. |
Extreme Value Theory for Risk Managers Alexander J. McNeil |
3 |
| 2. |
Measuring Risk with Extreme Value Theory Richard L. Smith |
19 |
| 3. |
Adaptive Threshold Selection in Tail Index Estimation Gunther Matthys and Jan Beirlant |
37 |
| 4. |
Pitfalls and Opportunities in the Use of Extreme Value Theory
in Risk Management Francis X. Diebold, Til Schuermann and John D. Stroughair |
51 |
| 5. |
Modelling Multivariate Extremes Paul Embrechts, Laurens de Haan and Xin Huang |
59 |
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RISK MEASURES AND EXTREME VALUE THEORY |
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| 6. |
Correlation: Pitfalls and Alternatives Paul Embrechts, Alexander J. McNeil and Daniel Straumann |
71 |
| 7. |
Thinking Coherently Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath |
77 |
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APPLICATIONS TO FINANCE |
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| 8. |
Value-at-Risk and Extreme Returns Jon Danielsson and Casper G. de Vries |
85 |
| 9. |
Reading the Riskometer Alexander J. McNeil |
107 |
| 10. |
Extreme Value Theory: An Empirical Analysis of Equity Risk John Gavin |
115 |
| 11. |
From Value at Risk to Stress Testing: the Extreme Value
Approach François M. Longin |
125 |
| 12. |
Is it Really Long Memory we See in Financial Returns? Thomas Mikosch and Catalin Starica |
149 |
| 13. |
Multivariate Extremes for Foreign Exchange Data Catalin Starica |
169 |
| 14. |
Extremal Spill-Overs in Financial Markets Stefan Straetmans |
187 |
| 15. |
Modelling and Measuring Operational Risk Marcelo Cruz, Rodney Coleman and Gerry Salkin |
205 |
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APPLICATIONS TO INSURANCE |
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| 16. |
Extreme Value Statistics and Wind Storm Losses: A Case
Study Holger Rootzén and Nader Tajvidi |
215 |
| 17. |
Bayesian Risk Analysis Richard L. Smith and Dougal Goodman |
235 |
| 18. |
Developing Scenarios for Future Extreme Losses Using the
Peaks-over-Threshold Method Alexander J. McNeil and Thomas Saladin |
253 |