Cover -- Title Page -- Copyright -- Contents -- About the Editor -- About the Contributors -- Chapter 1 Introduction -- 1.1 Extremes -- 1.2 History -- 1.3 Extreme value theory -- 1.4 Statistical estimation of extremes -- 1.5 Applications in finance -- 1.6 Practitioners' points of view -- 1.7 A...

"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions."

Main description: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric...