Contributions to the handbook


Extreme events in finance
   François Longin (ESSEC Business School)

Historical perspectives

Extremes under dependence: historical development and parallels with central limit theory
   Ross Leadbetter (University of North Carolina)

The extreme value problem in finance: comparing the pragmatic programme with the Mandelbrot programme
   Christian Walter (Fondation Maison des Sciences de l’Homme)

Extreme value theory

Extreme value theory: an introductory overview
   Isabel Fraga Alves (University of Lisbon)
   Cláudia Neves (University of Reading)

The estimation of the extreme value index
   Jan Beirlant (KU Leuven University)
   Klaus Herrmann (KU Leuven University)
   Jozef Teugels (KU Leuven University)

Bootstrap methods in statistics of extremes
   Ivette Gomes (University of Lisbon)
   Frederico Caeiro (Nova University of Lisbon)
   Lígia Henriques-Rodrigues (University of São Paulo)
   B G Manjunath (Dell)

Extreme values statistics for Markov chains with applications to finance and insurance
   Patrice Bertail (University of Paris-Ouest Nanterre La Défense)
   Stéphan Clémençon (Telecom ParisTech)
   Charles Tillier (University of Paris-Ouest Nanterre La Défense)

Lévy processes and extreme value theory
   Olivier Le Courtois (EMLyon Business School)
   Christian Walter (Fondation Maison des Sciences de l’Homme)

Statistics of extremes: challenges and opportunities
   Miguel de Carvalho (Pontificia Universidad Católica de Chile)

Applications in finance

Measures of financial risk
   Serguei Novak (Middlesex University, London)

On the estimation of the distribution of aggregated heavy tailed risk
   Marie Kratz (ESSEC Business School and CREAR)

Estimation methods for Value at Risk
   Saralees Nadarajah (University of Manchester)
   Stephen Chan (University of Manchester)

Comparing tail risk and systematic risk profiles for different types of US financial institutions
   Stefan Straetmans (Maastricht University)
   Thanh Thi Huyen Dinh (Lage Landen Group)

Extreme value theory and credit spreads
   Wesley Phoa (Capital Group)

Extreme value theory and risk management in electricity markets
   Kam Fong Chan (University of Queensland Business School)
   Philip Gray (Monash Business School)

Margin setting and extreme value theory
   John Cotter (University College Dublin)
   Kevin Dowd (Durham University)

The Sortino ratio and the generalized Pareto distribution: an application to asset allocation
   Geoffrey Booth (Michigan State University)
   John Paul Broussard (Rutgers University)

Portfolio insurance: the extreme value approach applied to the CPPI method
   Philippe Bertrand (IAE Aix-en Provence)
   Jean-Luc Prigent (University of Cergy-Pontoise)

The choice of the distribution of asset returns: how extreme value theory can help?
   François Longin (ESSEC Business School)

Practitioners points of view

Protecting assets under non-parametric market conditions
   Jean-Marie Choffray (ESSEC Business School and University of Liège)
   Charles Pahud de Mortanges (University of Liège)

EVT seen by a vet: a practitioner’s experience of extreme value theory
   Jean-François Boulier (Aviva Investors France)

The robotisation of financial activities: a cybernetic perspective
   Hubert Rodarie (Groupe SMA)

Two tales of liquidity stress
   Jacques Ninet (La Française)

Managing operational risk in the banking business – An internal auditor point of view
   Maxime Laot (European Central Bank)


Credo Ut Intelligam
   Henri Bourguinat (University of Bordeaux IV)
   Eric Briys (Cyberlibris)

Bounded rationalities, routines, and practical as well theoretical blindness: on the discrepancy between markets and corporations
   Laurent Bibard (ESSEC Business School)

Extreme events in finance