Centro de Documentacion de Fundación MAPFRE - Extremes and integrated risk management

MAP20070043526

Extremes and integrated risk management / edited by Paul Embrechts. — London : Risk Books, cop. 2000

XXVIII, 273 p. ; 30 cm.

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

ISBN 1-899-332-74-X

1. Gerencia de riesgos . 2. Análisis de riesgos . 3. Modelos de simulación . 4. Análisis estadístico . 5. Modelos probabílisticos . I. Embrechts, Paul . II. Título.

FUNDACIÓN MAPFRE. Centro de Documentación

FUNDACIÓN MAPFRE. Centro de Documentación — Assinatura: 7 EXT EXT — Nº de registro: 042329

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