Conference Scientific committee

“When I started to study extreme events in finance after the stock market crash of October 1987, academic studies considered extreme events as outliers and such data were usually discarded from empirical work. A few decades later I am more than happy to organize an international conference on extreme events in finance.” 

“As the PhD adviser of Nassim Taleb, author of the Black Swan, and author myself of papers and book on Catastrophe bonds and Derivatives, I can only be fascinated by extreme events! ” 

“Most financial theory rests on the notion that financial returns are Gaussian, an assumption routinely violated in practice. Real world distributions are typically fat-tailed. Thus, in practice we must deal with downside risk that is characterized by large and abrupt changes, which are often called spikes. Trying to make sense of these spikes is the province of extreme value theory. My hope is that this conference will provide a venue for like-minded individuals to discuss, analyze and perhaps better understand extreme events in finance.” 

“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…” 

“The stock market crash of 1987, the Asian contagion of 1997, the global financial crisis of 2008, and the flash crash of 2010 are extreme financial events few want repeated. Preparation for such undesirable outcomes requires an understanding of extreme event behavior. I am pleased to participate in a conference that gives opportunities for better understanding.” 

“With the financial crisis of 2008-09, the finance community at large and regulators realized the importance of modeling extreme events, in particular the need to model both the heavy tails and the non-linear dependence of risks. Nowadays, modern financial risk management cannot ignore EVT tools.”