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Editor of the handbook
François Longin (ESSEC Business School)
Chapter: Extreme events in finance – Introduction
Chapter: The choice of the distribution of asset prices: how extreme value theory can help? |
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Jan Beirlant (KU Leuven University)
Chapter: Extreme values statistics for Markov chains with applications to finance and insurance |
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Patrice Bertail (University of Paris-Ouest Nanterre La Défense)
Chapter: The estimation of the tail index |
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Philippe Bertrand (IAE Aix-en Provence)
Chapter: Portfolio insurance: the extreme value approach applied to the CPPI method |
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Laurent Bibard (ESSEC Business School)
Chapter: Bounded rationalities, routines, and practical as well theoretical blindness: on the discrepancy between markets and corporations |
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Jean-François Boulier (Aviva)
Chapter: EVT seen by a vet: a practitioner’s experience of extreme value theory |
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Geoffrey Booth (Michigan State University)
Chapter: The Sortino ratio and the generalized Pareto distribution: an application to asset allocation |
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Henri Bourguinat (University of Bordeaux IV)
Chapter: Credo Ut Intelligam |
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Eric Briys (Cyberlibris)
Chapter: Credo Ut Intelligam |
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John Paul Broussard (Rutgers University)
Chapter: The Sortino ratio and the generalized Pareto distribution: an application to asset allocation |
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Frederico Caeiro (Nova University of Lisbon)
Chapter: Bootstrap methods in statistics of extremes |
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Kam Fong Chan (University of Queensland Business School)
Chapter: Extreme value theory and risk management in electricity markets |
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Stephen Chan (University of Manchester)
Chapter: Estimation methods for Value at Risk |
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Jean-Marie Choffray (ESSEC Business School and University of Liège)
Chapter: Protecting assets under non-parametric market conditions |
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Stéphan Clémençon (Telecom ParisTech)
Chapter: Extreme values statistics for Markov chains with applications to finance and insurance |
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John Cotter (University College Dublin)
Chapter: Margin setting and extreme value theory |
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Miguel de Carvalho (Pontificia Universidad Católica de Chile)
Chapter: Statistics of extremes: challenges and opportunities |
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Thanh Thi Huyen Dinh (Lage Landen Group)
Chapter: Comparing tail risk and systematic risk profiles for different types of US financial institutions |
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Kevin Dowd (Durham University)
Chapter: Margin setting and extreme value theory |
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Isabel Fraga Alves (University of Lisbon)
Chapter: Extreme value theory: an introductory overview |
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Ivette Gomes (University of Lisbon)
Chapter: Bootstrap methods in statistics of extremes |
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Philip Gray (Monash Business School)
Chapter: Extreme value theory and risk management in electricity markets |
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Lígia Henriques-Rodrigues (University of São Paulo)
Chapter: Bootstrap methods in statistics of extremes |
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Klaus Herrmann (KU Leuven University)
Chapter: The estimation of the tail index |
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Marie Kratz (ESSEC Business School, CREAR)
Chapter: On the estimation of the distribution of aggregated heavy tailed risk |
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Maxime Laot (European Central Bank)
Chapter: Managing operational risk in the banking business – An internal auditor point of view |
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Ross Leadbetter (University of North Carolina)
Chapter: Extremes under dependence: historical development and parallels with central limit theory |
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Olivier Le Courtois (EM Lyon Business School)
Chapter: Lévy processes and extreme value theory |
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François Longin (ESSEC Business School)
Chapter: Extreme events in finance
Chapter: The choice of the distribution of asset prices: how extreme value theory can help? |
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B G Manjunath (Dell)
Chapter: Bootstrap methods in statistics of extremes
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Saralees Nadarajah (University of Manchester)
Chapter: Estimation methods for Value at Risk |
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Cláudia Neves (University of Reading)
Chapter: Extreme value theory: an introductory overview |
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Jacques Ninet (La Française)
Chapter: Two tales of liquidity stress |
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Serguei Novak (Middlesex University, London)
Chapter: Measures of financial risk |
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Charles Pahud de Mortanges (University of Liège)
Chapter: Protecting assets under non-parametric market conditions |
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Wesley Phoa (Capital Group)
Chapter: Extreme value theory and credit spreads |
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Jean-Luc Prigent (University of Cergy-Pontoise)
Chapter: Portfolio insurance: the extreme value approach applied to the CPPI method |
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Hubert Rodarie (Groupe SMA)
Chapter: The robotisation of financial activities: a cybernetic perspective |
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Stefan Straetmans (Maastricht University)
Chapter: Comparing tail risk and systematic risk profiles for different types of US financial institutions |
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Jozef Teugels (KU Leuven University)
Chapter: The estimation of the tail index |
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Charles Tillier (University of Paris-Ouest Nanterre La Défense)
Chapter: Extreme values statistics for Markov chains with applications to finance and insurance |
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Christian Walter (Fondation Maison des Sciences de l’Homme)
Chapter: The extreme value problem in finance: comparing the pragmatic programme with the Mandelbrot programme
Chapter: Lévy processes and extreme value theory index |
