Product Description

Because of its potential to "predict the unpredictable," Extreme Value Theory (EVT) and its methodology are currently in the spotlight. EVT affords some insight into extreme tails and maxima where standard models have proved unreliable. This is achieved with semi-parametric models which only specify the distributional shapes of maxima or of extreme tails. The rationale for these models are very basic limit and stability arguments.Bringing together world-recognized authorities, Extreme Values in Finance, Telecommunications, and the Environment puts to rest some of the myths and misconceptions of EVT. It explores the application, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The book reviews the way in which this paradigm can answer questions in climatology, insurance, and finance, covers parts of univariate extreme values theory, and discusses estimation, diagnostics, and multivariate extremes. It presents issues in data network modeling and examines aspects of Value-at-Risk (VaR) and its estimation based on EVT. The final chapter gives an overview of multivariate extreme value distributions and the problem of measuring extremal dependencies. Considered one of the hottest ideas in risk management, EVT is designed to allow anyone faced with calculating risky situations to determine the chances of being hit with one or even multiple catastrophic events. It provides a statistical methodology for dealing with the prediction of events which are so rare that they appear impossible. Presenting information from the forefront of knowledge and research, Extreme Values in Finance, Telecommunications, and the Environment brings you up to speed on current issues and techniques in EVT.

Product Details

• Amazon Sales Rank: #2222050 in Books
• Published on: 2003-07-28
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 432 pages

Review
I recommend the book to all who work in the area, or in related areas. I like the nice mix of theory and applications, and the very practical and realistic approaches to data analysis that Biometrics readers are sure to appreciate. …Great progress has been made in this area over the last few decades, and this book surveys its territory extremely well.
-Biometrics, Sept., 2005

I recommend the book to all who work in the area, or in related areas. I like the nice mix of theory and applications, and the very practical and realistic approaches to data analysis that Biometrics readers are sure to appreciate. …Great progress has been made in this area over the last few decades, and this book surveys its territory extremely well.
-Biometrics, Sept., 2005

The book includes excellent discussions of the applications of extreme-value theory to risk management, insurance, rainfall and data networks, as well as overview of univariate and multivariate extreme-value theory. This book provides an excellent source both for the basic successes and the limitations of the current extreme-value methodology.
-ISI Short Book Reviews, August 2004

…the volume as a whole is something of a landmark event…compiled with care and intelligence…
Journal of the RSS, Vol. 168

…the volume as a whole is something of a landmark event…compiled with care and intelligence…
Journal of the RSS, Vol. 168