Extreme Value Methods with Applications to Finance

Extreme value theory is a branch of statistics dealing with extreme (rare) events. It provides tools for assessing risk of highly unusual developments, such as financial market crashes.

There has been a huge amount of research in this area during the last 20 years. This book presents a synthesis of that research, with emphasis on dependent observations. It concentrates on modern topics, such as compound Poisson approximation, processes of exceedances, and nonparametric estimation methods, that have not been focused on in other books on extremes.

Along with examples from finance and insurance to illustrate the methods, the book includes over 200 exercises, making it useful as a reference, self-study tool, or comprehensive course text. It is suitable for graduate and postgraduate students in probability and statistics as well as researchers, data analysts, risk managers, and others interested in extreme value theory and its applications.