A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector
Presenting a uniquely accessible guide, 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 and a practical understanding of market behavior including both ordinary and extraordinary conditions.
Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes:
• Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management
• Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets
• Extensive references in order to provide readers with resources for further study
• Discussions on using R packages to compute the value of risk and related quantities
The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
François Longin, PhD, is Professor in the Department of Finance at ESSEC Business School, France. He has been working on the applications of extreme value theory to financial markets for many years, and his research has been applied by financial institutions in the risk management area including market, credit, and operational risks. His research works can be found in scientific journals such as The Journal of Finance. Dr. Longin is currently a financial consultant with expertise covering risk management for financial institutions and portfolio management for asset management firms.
This book provides unique insights into how the idea of quota laws to get women on to corporate boards gained international momentum from its origins in Norway. Invaluable insights are gained through the stories of actors involved in shaping the discourse and practice on women of boards. In exploring political contexts, the role of the advocacy movement, experiences of women directors themselves and latest research findings, the contributors provide a comprehensive overview of the rationales, processes and outcomes of formal approaches to gender diversity on boards. Drawing on insights from political, business and academic actors, the book discusses how and why the Norwegian law on gender equality on corporate boards is turning into a blueprint for action internationally. Getting Women on to Corporate Boards will prove an invaluable resource for policy-makers, principle-setters, practitioners and students interested in the international lessons from Norway, as well as for current and potential women directors.
<b>one-of-a-kind introduction to the theory and application of modeling and simulation techniques in the realm of international studies</b> <p> <i>Modeling and Simulation for Analyzing Global Events</i> provides an orientation to the theory and application of modeling and simulation techniques in social science disciplines. This book guides readers in developing quantitative and numeric representations of real-world events based on qualitative analysis. With an emphasis on gathering and mapping empirical data, the authors detail the steps needed for accurately analyzing global events and outline the selection and construction of the best model for understanding the event¿s data. <p> Providing a theoretical foundation while also illustrating modern examples, the book contains three parts: <ul> <li> <div><b>Advancing Global Studies</b>—introduces the what, when, and why of modeling and simulation and also explores its brief history, various uses, and some of the advantages and disadvantages of modeling and simulation in problem solving. In addition, the differences in qualitative and quantitative research methods, mapping data, and conducting model validation are also discussed.</div> <li> <div><b>Modeling Paradigms</b>—examines various methods of modeling including system dynamics, agent-based modeling, social network modeling, and game theory. This section also explores the theory and construction of these modeling paradigms, the fundamentals for their application, and various contexts for their use.</div> <li> <div><b>Modeling Global Events</b>—applies the modeling paradigms to four real-world events that are representative of several fundamental areas of social science studies: internal commotion within an anarchic state, a multi-layered study of the Solidarity movement in Poland, uni-lateral military intervention, and the issue of compellence and deterrence during a national security crisis.</div> </ul> <p> <i>Modeling and Simulation for Analyzing Global Events</i> is an excellent book for statistics, engineering, computer science, economics, and social sciences courses on modeling and simulation at the upper-undergraduate and graduate levels. It is also an insightful reference for professionals who would like to develop modeling and simulation skills for analyzing and communicating human behavior observed in real-world events and complex global case studies.
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