New sources of finance
14 min
- View the Talks
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33 min
1. Risk management: some lessons from the credit crisis- Mr. Edward Fishwick
- Archived Lectures *These may not cover the latest advances in the field
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22 min
2. The need for a new paradigm- Mr. Alan Brown
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41 min
3. Leading bank credit portfolio strategies- Mr. Brian Dvorak
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26 min
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18 min
5. Quantmare, August 2007- Mr. Eoin Murray
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36 min
6. Risk decomposition (and risk budgeting)- Mr. Jason MacQueen
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43 min
7. Structural and reduced form models- Dr. Theo Darsinos
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43 min
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40 min
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52 min
10. Estimating risk models- Prof. Kevin Dowd
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24 min
11. Hedge fund risk assessment- Mr. David Martin
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45 min
12. Modeling business dependencies for credit portfolios- Dr. Markus A. Leippold
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26 min
13. VaR when volatility is changing- Dr. Elizabeth Sheedy
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30 min
14. Conditional Value at Risk (CoVAR)- Mr. KiHoon Jimmy Hong
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40 min
15. Dependence modeling with copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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41 min
16. Extreme value theory and copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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42 min
17. Measures of financial risk- Prof. Kevin Dowd
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37 min
18. Modelling UK Mortgage Default in Light of the Financial Crisis- Mr. Warapong Wongwachara
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23 min
19. Statistical models for risk management- Prof. John Knight
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34 min
20. The structure of equity risk models- Mr. Jason MacQueen
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42 min
21. Utility theory and mean variance- Dr. Norvald Instefjord
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40 min
22. Definitions of risk- Dr. Norvald Instefjord
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29 min
23. Practical use of portfolio risk management today- Mr. Daryl Roxburgh
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44 min
24. Volatility- Dr. George A. Christodoulakis
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 October 30, 2025, from https://doi.org/10.69645/YWGV9338.Export Citation (RIS)
