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Printable Handouts
Navigable Slide Index
- Introduction (1)
- Introduction (2)
- Risk measurement and systemic risk
- The perfect storm
- Market movements
- Entering extremes and copulas
- The Central Limit Theorem
- Limiting behaviour of sums and averages
- Some financial data
- Some financial data continued
- Limited behaviour of maxima
- Fisher-Tippett Theorem (1)
- Fisher-Tippett Theorem (2)
- GEV distribution
- GEV distribution function
- GEV density
- Maximum domain of attraction (1)
- Maximum domain of attraction (2)
- The Block Maxima Method
- The S&P 500 example (1)
- The S&P 500 example (2)
- The S&P 500 example (3)
- The S&P 500 example continued (1)
- The S&P 500 example continued (2)
- The S&P 500 example Black Monday
- Another example: Danish fire loss data
- The POT method
- Picklands-Balkema-de Haan Theorem (1)
- Pickands-Balkema-de Haan Theorem (2)
- GPD distribution
- GPD distribution function and density
- Pickands-Balkema-de Haan Theorem in practice
- Threshold selection
- Threshold selection: Diagnostic tools
- Threshold diagnostics for the Danish fire loss data
- Analysis of the Danish fire loss data
- Quantile estimation
- Simulation study: Quantile estimators
- Hard: 0.999 Quantile of t for v = 2
- Soft 0.95 Quantile of standard normal
- Back to the Danish data
- Point process analysis of the Danish fire loss data
- Extensions of the Classical Theory
- Financial regulation
- Questions asked in risk management
- Risk measurement and systemic risk
- Statements on EVT 1
- Statements on EVT 2
- Some EVT literature
Topics Covered
- Extremes in quantitative risk management
- Limiting behavior of sums and maxima
- Fisher/Tippett theorem
- Extreme value distributions and domains of attraction
- Block maxima method
- Threshold exceedances
- Picands/Balkema/de Haan theorem
- Threshold selection
- Quantile estimation
- Point process approach
- Banking and insurance regulation
- Critical appraisal
Talk Citation
Embrechts, P. and Neslehova, J. (2007, October 1). Extreme value theory and copulas [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/YWGV9338.Export Citation (RIS)