Sección: LibrosTítulo: Extremes and integrated risk management / edited by Paul EmbrechtsPublicación: London : Risk Books, cop. 2000Descripción física: XXVIII, 273 p. ; 30 cm.Notas: Extreme value theory for risk managers -- Measuring risk with extreme value theory -- Adaptive threshold selection in tail index estimation -- Pitfalls and opportunities in the use of extreme value theory in risk management -- Modelling multivariate extremes -- Correlation: pitfalls and alternatives -- Thinking coherently -- Value-at-risk and extreme returns -- Reading the riskometer -- Extreme value theory: an empirical analysis of equity risk -- From value-at-risk to stress-testing: the extreme value approach -- Is it really long memory we see in financial returns? -- Multivariate extremes for foreign exchange data -- Extremal spill-overs in equity markets -- Modelling and measuring operational risk -- Extreme value statistics and wind storm losses: a case study -- Bayesian risk analysis -- Developing scenarios for future extreme losses using the peaks-over-threshold method.Materia / lugar / evento: Gerencia de riesgosAnálisis de riesgosModelos de simulaciónAnálisis estadísticoModelos probabílisticosOtros autores: Embrechts, Paul Otras clasificaciones: 7Números normalizados: ISBN 1-899-332-74-XDerechos: In Copyright (InC)Referencias externas:
