Research Catalog

Extreme values in finance, telecommunications, and the environment / edited by Barbel Finkenstadt, Holger Rootzen.

Title
Extreme values in finance, telecommunications, and the environment / edited by Barbel Finkenstadt, Holger Rootzen.
Author
Séminaire européen de statistique (5th : 2001 : Göteborg, Sweden)

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Details

Additional Authors
  • Finkenstädt, Bärbel.
  • Rootzén, Holger.
Description
xix, 405 p.; 23 cm.
Summary
"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, Anna-Laure Fougeres, and Paul Embrechts."--BOOK JACKET.
Series Statement
Monographs on statistics and applied probability ; 99
Subject
  • Environmental sciences > Mathematical models
  • Extreme value theory > Congresses
  • Extreme value theory
  • Finance > Mathematical models
  • Telecommunication > Mathematical models
ISBN
1584884118 (alk. paper)
LCCN
2003051602
Owning Institutions
Columbia University Libraries