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Extreme Events in Finance – Community – Ivette Gomes
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Ivette Gomes
University of Lisbon
Ivette Gomes was a Full Professor at the Department of Statistics and Operations Research, Faculty of Sciences, University of Lisbon (1988-2011), being now a principal researcher at the Centre for Statistics and Applications, University of Lisbon (CEAUL). She has a PhD in Statistics (University of Sheffield, UK, 1978) and a Habilitation Degree in Applied Mathematics (UL, 1982). One of her main areas of research is Statistics of Extremes. She was a founding member of the Portuguese Statistical Society and member of several scientific Associations. She has been involved in the organization of several international conferences, including the 56th Session of ISI, 2007. Among other editorial duties, she has been chief editor of Revstat, since 2003, and associate editor of Extremes since 2007.
About extreme events
In the late seventies I became in love with the field of extreme value analysis (EVA) and statistics of extremes. Finding reliable techniques to infer in the tails and beyond available data is indeed crucial. At the beginning EVA was essentially applied in the areas of hydrology and environmental sciences. But nowadays extremes play a crucial role in the most diverse fields, including insurance and finance. It is really incredible the number of tales that the tails contain?
Selected publications
Bootstrap methods in statistics of extremes
Gomes M.I., F. Caeiro, L. Henriques-Rodrigues and B.G. Manjunath (2016) "Bootstrap methods in statistics of extremes" published in Extreme events in finance: a handbook of extreme value theory and its applications edited by F. Longin, Wiley.