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1. Introduction (1)
2. Introduction (2)
3. Risk measurement and systemic risk
4. The perfect storm
5. Market movements
6. Entering extremes and copulas
7. The Central Limit Theorem
8. Limiting behaviour of sums and averages
9. Some financial data
10. Some financial data continued
11. Limited behaviour of maxima
12. Fisher-Tippett Theorem (1)
13. Fisher-Tippett Theorem (2)
14. GEV distribution
15. GEV distribution function
16. GEV density
17. Maximum domain of attraction (1)
18. Maximum domain of attraction (2)
19. The Block Maxima Method
20. The S&P 500 example (1)
21. The S&P 500 example (2)
22. The S&P 500 example (3)
23. The S&P 500 example continued (1)
24. The S&P 500 example continued (2)
25. The S&P 500 example Black Monday
26. Another example: Danish fire loss data
27. The POT method
28. Picklands-Balkema-de Haan Theorem (1)
29. Pickands-Balkema-de Haan Theorem (2)
30. GPD distribution
31. GPD distribution function and density
32. Pickands-Balkema-de Haan Theorem in practice
33. Threshold selection
34. Threshold selection: Diagnostic tools
35. Threshold diagnostics for the Danish fire loss data
36. Analysis of the Danish fire loss data
37. Quantile estimation
38. Simulation study: Quantile estimators
39. Hard: 0.999 Quantile of t for v = 2
40. Soft 0.95 Quantile of standard normal
41. Back to the Danish data
42. Point process analysis of the Danish fire loss data
43. Extensions of the Classical Theory
44. Financial regulation
45. Questions asked in risk management
46. Risk measurement and systemic risk
47. Statements on EVT 1
48. Statements on EVT 2
49. 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

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Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022