Contributors to the handbook

François Longin, ESSEC Business School
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?
Jan Beirlant, KU Leuven University
Jan Beirlant (KU Leuven University)
Chapter:  Extreme values statistics for Markov chains with applications to finance and insurance
Patrice Bertail, University of Paris-Ouest Nanterre La Défense
Patrice Bertail (University of Paris-Ouest Nanterre La Défense)
Chapter:  The estimation of the tail index
Philippe Bertrand, IAE Aix-en Provence
Philippe Bertrand (IAE Aix-en Provence)
Chapter:  Portfolio insurance: the extreme value approach applied to the CPPI method
Laurent Bibard, ESSEC Business School
Laurent Bibard (ESSEC Business School)
Chapter:  Bounded rationalities, routines, and practical as well theoretical blindness: on the discrepancy between markets and corporations
Jean-François Boulier, Aviva
Jean-François Boulier (Aviva)
Chapter:  EVT seen by a vet: a practitioner’s experience of extreme value theory
Geoffrey Booth, Michigan State University
Geoffrey Booth (Michigan State University)
Chapter:  The Sortino ratio and the generalized Pareto distribution: an application to asset allocation
Henri Bourguinat, University of Bordeaux IV
Henri Bourguinat (University of Bordeaux IV)
Chapter:  Credo Ut Intelligam
Eric Briys, Cyberlibris
Eric Briys (Cyberlibris)
Chapter:  Credo Ut Intelligam
John Paul Broussard, Rutgers University
John Paul Broussard (Rutgers University)
Chapter:  The Sortino ratio and the generalized Pareto distribution: an application to asset allocation
Frederico Caeiro, Nova University of Lisbon
Frederico Caeiro (Nova University of Lisbon)
Chapter:  Bootstrap methods in statistics of extremes
Kam Fong Chan, University of Queensland Business School
Kam Fong Chan (University of Queensland Business School)
Chapter:  Extreme value theory and risk management in electricity markets
Stephen Chan, University of Manchester
Stephen Chan (University of Manchester)
Chapter:  Estimation methods for Value at Risk
Jean-Marie Choffray, ESSEC Business School and University of Liège
Jean-Marie Choffray (ESSEC Business School and University of Liège)
Chapter:  Protecting assets under non-parametric market conditions
Stéphan Clémençon, Telecom ParisTech
Stéphan Clémençon (Telecom ParisTech)
Chapter:  Extreme values statistics for Markov chains with applications to finance and insurance
John Cotter, University College Dublin
John Cotter (University College Dublin)
Chapter:  Margin setting and extreme value theory
Miguel de Carvalho, Pontificia Universidad Católica de Chile
Miguel de Carvalho (Pontificia Universidad Católica de Chile)
Chapter:  Statistics of extremes: challenges and opportunities
Thanh Thi Huyen Dinh, Lage Landen Group
Thanh Thi Huyen Dinh (Lage Landen Group)
Chapter:  Comparing tail risk and systematic risk profiles for different types of US financial institutions
Kevin Dowd, Durham University
Kevin Dowd (Durham University)
Chapter:  Margin setting and extreme value theory
Isabel Fraga Alves, University of Lisbon
Isabel Fraga Alves (University of Lisbon)
Chapter:  Extreme value theory: an introductory overview
Ivette Gomes, University of Lisbon
Ivette Gomes (University of Lisbon)
Chapter:  Bootstrap methods in statistics of extremes
Philip Gray, Monash Business School
Philip Gray (Monash Business School)
Chapter:  Extreme value theory and risk management in electricity markets
Lígia Henriques-Rodrigues, University of São Paulo
Lígia Henriques-Rodrigues (University of São Paulo)
Chapter:  Bootstrap methods in statistics of extremes
Klaus Herrmann, KU Leuven University
Klaus Herrmann (KU Leuven University)
Chapter:  The estimation of the tail index
Marie Kratz, ESSEC Business School, CREAR
Marie Kratz (ESSEC Business School, CREAR)
Chapter:  On the estimation of the distribution of aggregated heavy tailed risk
Maxime Laot, European Central Bank
Maxime Laot (European Central Bank)
Chapter:  Managing operational risk in the banking business – An internal auditor point of view
Ross Leadbetter, University of North Carolina
Ross Leadbetter (University of North Carolina)
Chapter:  Extremes under dependence: historical development and parallels with central limit theory
Olivier Le Courtois, EM Lyon Business School
Olivier Le Courtois (EM Lyon Business School)
Chapter:  Lévy processes and extreme value theory
François Longin, ESSEC Business School
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?
B G Manjunath, Dell
B G Manjunath (Dell)
Chapter:  Bootstrap methods in statistics of extremes

Saralees Nadarajah, University of Manchester
Saralees Nadarajah (University of Manchester)
Chapter:  Estimation methods for Value at Risk
Cláudia Neves, University of Reading
Cláudia Neves (University of Reading)
Chapter:  Extreme value theory: an introductory overview
https://extreme-events-finance.net/community/images/avatars/members/photo_Jacques_Ninet_La_Francaise.jpg, La Française
Jacques Ninet (La Française)
Chapter:  Two tales of liquidity stress
Serguei Novak, Middlesex University Londin
Serguei Novak (Middlesex University, London)
Chapter:  Measures of financial risk
Charles Pahud de Mortange, University of Liège
Charles Pahud de Mortanges (University of Liège)
Chapter:  Protecting assets under non-parametric market conditions
Wesley Phoa, Capital Group
Wesley Phoa (Capital Group)
Chapter:  Extreme value theory and credit spreads
Jean-Luc Prigent, University of Cergy-Pontoise
Jean-Luc Prigent (University of Cergy-Pontoise)
Chapter:  Portfolio insurance: the extreme value approach applied to the CPPI method
Hubert Rodarie, Groupe SMA
Hubert Rodarie (Groupe SMA)
Chapter:  The robotisation of financial activities: a cybernetic perspective
Stefan Straetmans, Maastricht University
Stefan Straetmans (Maastricht University)
Chapter:  Comparing tail risk and systematic risk profiles for different types of US financial institutions
Jozef Teugels, KU Leuven University
Jozef Teugels (KU Leuven University)
Chapter:  The estimation of the tail index
Charles Tillier, University of Paris-Ouest Nanterre La Défense
Charles Tillier (University of Paris-Ouest Nanterre La Défense)
Chapter:  Extreme values statistics for Markov chains with applications to finance and insurance
Christian Walter, Fondation Maison des Sciences de l'Homme
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
Extreme events in finance