Longin - Extreme Events in Finance

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Library of Congress Cataloging-in-Publication Data:

Names: Longin, Franois Michel, 1968- editor.

Title: Extreme events in finance : a handbook of extreme value theory and its applications / edited by Franois Longin.

Description: Hoboken : Wiley, 2017. | Series: Wiley handbooks in financial engineering and econometrics | Includes bibliographical references and index.

Identifiers: LCCN 2016004187| ISBN 9781118650196 (hardback) | ISBN 9781118650202 (epub)

Subjects: LCSH: FinanceMathematical models. | Extreme value theoryMathematical models. | BISAC: BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management.

Classification: LCC HG106 .E98 2016 | DDC 332.01/5195dc23 LC record available at http://lccn.loc.gov/2016004187

Cover image courtesy of iStockphoto Nikada

Franois Longin graduated from the French engineering school Ecole Nationale des Ponts et Chausses in 1990, and received the PhD degree in finance from HEC Paris in 1993 for his thesis Volatility and extreme price movements in equity markets. He then conducted research on financial markets at New York University and the London Business School. He is now Professor of Finance at ESSEC Business School and a consultant to several financial institutions and firms. He is an active member of CREAR (Center of Research in Econo-finance and Actuarial sciences on Risk) at ESSEC. His current research interests include extreme events in finance, as well as financial applications of extreme value theory in risk management and portfolio management. His works have been published in international scientific journals such as the Journal of Finance, Journal of Business, Review of Financial Studies, Journal of Banking and Finance, and the Journal of Derivatives. He is Associate Editor of the Journal of Banking and Finance and the Journal of Risk. His domains of expertise include risk management for banks, portfolio management for fund management firms, financial management for firms, and wealth management for individuals. (More information can be found on www.longin.fr.) He is also a participant in the SimTrade project, which is a pedagogical tool to help understand how financial markets work and to learn to act in financial markets, and a simulationbased research program to improve the behavior of individuals and the statistical characteristics of financial markets. More information can be had from www.simtrade.fr.

Jan Beirlant obtained a PhD in statistics from KU Leuven in 1984. He is currently a Professor with the Department of Mathematics, KU Leuven University. Presently, he is chairing LRisk, a center for research, training, and advice in insurance and financial risk analysis, combining all relevant KU Leuven expertise. His main research interests include extreme value methodology with emphasis on applications in insurance and finance. He has published over 100 papers in statistical research journals and has published the following books: Statistics of Extremes: Theory and Applications, with Y. Goegebeur, J. Segers, and J.L. Teugels (2004), and Reinsurance: Actuarial and Statistical Aspects, with H. Albrecher and J.L. Teugels (2016).

Chapter: Estimation of the Extreme Value Index

Patrice Bertail is Professor of applied mathematics (statistics and probabilities) at the University of Paris-Ouest-Nanterre la Dfense. He has been in charge of the Master's ISIFAR (Ingnierie Statistique et Informatique de la Finance, l'Assurance et du Risque) program. He is also a researcher with the MODAL'X laboratory and CREST-ENSAE. His research interests include resampling methods for dependent data, survey sampling, empirical processes and extremes, especially for Markovian data (with applications toward food risks assessment).

Chapter: Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance

Philippe Bertrand obtained a PhD in mathematical economics from Ecole des Hautes Etudes en Sciences Sociales and the Habilitation diriger des recherches (HDR) from University Paris-Dauphine. He is currently a Full Professor of finance with IAE Aix-en Provence. He is also a member of the CERGAM Research Center and a member of Aix-Marseille School of Economics. He joined IAE in 2011, from the Facult d'Economie of Aix-Marseille, where he was Professor of finance. He was formerly the head of Financial Engineering, CCF Capital Management. His research interests include portfolio management, risk and performance evaluation, and portfolio insurance, as well as financial structured products. He has published numerous articles in scientific journals such as the