Reprint
Extreme Values and Financial Risk
Edited by
December 2018
114 pages
- ISBN978-3-03897-439-0 (Paperback)
- ISBN978-3-03897-440-6 (PDF)
This book is a reprint of the Special Issue Extreme Values and Financial Risk that was published in
Business & Economics
Computer Science & Mathematics
Summary
Since the 2008 financial crisis, modeling of the extreme values of financial risk has become important. Postgraduate programs and PhD research programs in mathematical finance are cropping up in nearly every university. Additionally, many conferences are being held annually on the topic of extreme financial risk. The aim of this Special Issue is to provide a collection of papers from leading experts in the area of extreme financial risk.
Format
- Paperback
License
© 2019 by the authors; CC BY-NC-ND license
Keywords
exchange rate; maximum likelihood; value at risk; bivariate Kumaraswamy distribution; copula based construction; Kendall’s tau; dependence structures; Burr X distribution; Pareto distribution; maximum likelihood estimation; heavy tail distribution; value-at-risk; Stieltjes transform; characteristic function; generalized convolution; beta distribution; long-term survivors; Kumaraswamy family; survival analysis; negative binomial distribution; generalized linear model; Filtered Historical Simulation Model; Value-at-Risk; volatility; backtesting; gamma distribution; estimation; financial risk; fit; pareto distribution; hierarchical Bayesian model; influential analysis; log-logistic distribution; transmuted map