Articles liés à Extreme Events in Finance
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Synopsis
Crashes, crises and collapses were until recently rare events in the finance markets. Huge swings in the markets were one-off events and not considered a threat, so risk management traditionally concentrated on smaller fluctuations in the market. The purpose of this book is to present extreme value theory (EVT) and its application in finance, particularly in risk management, to show that extreme financial events can be modelled. This volume illustrates how EVT can be applied to financial problems by providing an overview of the classical method and then applying the extreme value method.
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Présentation de l'éditeur
Crashes, crises and collapses were until recently rare events in the finance markets. Huge swings in the markets were one–off events and not considered a threat. Consequently risk management has traditionally concentrated on smaller fluctuations in the market. The purpose of this book is to present extreme value theory (EVT) and its application in finance, particularly in risk management, to show that extreme financial events can be modelled. Extreme value theory has been used widely in engineering and other fields but its use in finance is now rapidly developing. Extreme Events in Finance illustrates how EVT can be applied to financial problems by providing an overview of the classical method and then applying the extreme value method
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