- Cover
- Financial Engineering and Econometrics
- Title Page
- Copyright
- About the Editor
- About the Contributors
- Chapter 1: Introduction
- Chapter 2: Extremes Under Dependence—Historical Development and Parallels with Central Limit Theory
- 2.1 Introduction
- 2.2 Classical (I.I.D.) Central Limit and Extreme Value Theories
- 2.3 Exceedances of Levels, kth Largest Values
- 2.4 CLT and EVT for Stationary Sequences, Bernstein's Blocks, and Strong Mixing
- 2.5 Weak Distributional Mixing for EVT, D(un), Extremal Index
- 2.6 Point Process of Level Exceedances
- 2.7 Continuous Parameter Extremes
- References
- Chapter 3: The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program
- Chapter 4: Extreme Value Theory: An Introductory Overview
- Chapter 5: Estimation of the Extreme Value Index
- 5.1 Introduction
- 5.2 The Main Limit Theorem Behind Extreme Value Theory
- 5.3 Characterizations of the Max-Domains of Attraction and Extreme Value Index Estimators
- 5.4 Consistency and Asymptotic Normality of the Estimators
- 5.5 Second-order Reduced-bias Estimation
- 5.6 Case Study
- 5.7 Other Topics and Comments
- References
- Chapter 6: Bootstrap Methods in Statistics of Extremes
- Chapter 7: Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance
- 7.1 Introduction
- 7.2 On the (pseudo) Regenerative Approach for Markovian Data
- 7.3 Preliminary Results
- 7.4 Regeneration-based Statistical Methods for Extremal Events
- 7.5 The Extremal Index
- 7.6 The Regeneration-Based Hill Estimator
- 7.7 Applications to Ruin Theory and Financial Time Series
- 7.8 An Application to the CAC40
- 7.9 Conclusion
- References
- Chapter 8: Lévy Processes and Extreme Value Theory
- Chapter 9: Statistics of Extremes: Challenges and Opportunities
- Chapter 10: Measures of Financial Risk
- Chapter 11: On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures
- Chapter 12: Estimation Methods for Value at Risk
- Chapter 13: Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions
- Chapter 14: Extreme Value Theory and Credit Spreads
- Chapter 15: Extreme Value Theory and Risk Management in Electricity Markets
- Chapter 16: Margin Setting and Extreme Value Theory
- Chapter 17: The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation
- Chapter 18: Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method
- Chapter 19: The Choice of the Distribution of Asset Returns: How Extreme Value Can Help?1
- Chapter 20: Protecting Assets Under Non-Parametric Market Conditions
- Chapter 21: EVT Seen by a Vet: A Practitioner's Experience on Extreme Value Theory
- Chapter 22: The Robotization of Financial Activities: A Cybernetic Perspective
- Chapter 23: Two Tales of Liquidity Stress
- 23.1 The French Money Market Fund Industry. How history has Shaped a Potentially Vulnerable Framework
- 23.2 The 1992–1995 Forex Crisis
- 23.3 Four Mutations Paving the Way for Another Meltdown
- 23.4 The Subprime Crisis Spillover. How Some MMFs were Forced to Lock and Some Others Not
- 23.5 Conclusion. What Lessons can be Drawn from these Two Tales?
- Further Reading
- Chapter 24: Managing Operational Risk in the Banking Business – An Internal Auditor Point of View
- Chapter 25: Credo Ut Intelligam
- Chapter 26: Bounded Rationalities, Routines, and Practical as well as Theoretical Blindness: On the Discrepancy Between Markets and Corporations
- Name Index
- Subject Index
- Financial Engineering and Econometrics
- End User License Agreement
Wiley Handbooks in
Financial Engineering and Econometrics
Advisory Editor
Ruey S. Tsay
The University of Chicago Booth School of Business USA
A complete list of the titles in this series appears at the end of this volume.
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