Extreme Values in Finance, Telecommunications, and the Environment

Abstract

Because of its potential to predict the unpredictable, Extreme Value Theory (EVT) and its methodology are currently in the spotlight. Extreme Values in Finance, Telecommunications, and the Environment puts to rest some of the myths and misconceptions of EVT, exploring the application, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. It covers parts of univariate extreme value theory and discusses estimation, diagnostics, and multivariate extremes. It also presents issues in data network modeling and examines aspects of Value-at-Risk (VaR) and its estimation based on EVT. The chapters are written by authorities in the field, including Richard L. Smith, Claudia Kluppelberg, Thomas Mikosch, Sidney Resnick, Stuart Coles, Anne-Laure Fougeres, and Paul Embrechts.Considered one of the most important ideas in risk management, EVT provides a statistical methodology for dealing with the prediction of events that are so rare that they appear impossible. Presenting information from the forefront of knowledge and research, this book brings you quickly up to speed on the current issues and techniques of EVT.