Extreme values in finance, telecommunications, and the environment cover image

Extreme values in finance, telecommunications, and the environment

By Barbel Finkenstadt, Holger Rootzen
pdf
Format
2004
Year
English
Language
Chapman & Hall/CRC
Publisher

Summary

Because of its potential to "predict the unpredictable," Extreme Value Theory (EVT) and its methodology are currently in the spotlight. EVT affords some insight into extreme tails and maxima where standard models have proved unreliable. This is achieved with semi-parametric models which only specify the distributional shapes of maxima or of extreme tails. The rationale for these models are very basic limit and stability arguments.Bringing together world-recognized authorities, Extreme Values in Finance, Telecommunications, and the Environment puts to rest some of the myths and misconceptions of EVT. It explores the application, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The book reviews the way in which this paradigm can answer questions in climatology, insurance, and finance, covers parts of univariate extreme values theory, and discusses estimation, diagnostics, and multivariate extremes. It presents issues in data network modeling and examines aspects of Value-at-Risk (VaR) and its estimation based on EVT. The final chapter gives an overview of multivariate extreme value distributions and the problem of measuring extremal dependencies. Considered one of the hottest ideas in risk management, EVT is designed to allow anyone faced with calculating risky situations to determine the chances of being hit with one or even multiple catastrophic events. It provides a statistical methodology for dealing with the prediction of events which are so rare that they appear impossible. Presenting information from the forefront of knowledge and research, Extreme Values in Finance, Telecommunications, and the Environment brings you up to speed on current issues and techniques in EVT.

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