Extreme value theory is concerned with the study of the asymptotic distribution of extreme
events, that is to say events which are rare in frequency and huge in magnitude with respect …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

The most cutting-edge read on the pricing, modeling, and management of credit risk
available The rise of credit risk measurement and the credit derivatives market started in the …

Assessing the probability of rare and extreme events is an important issue in the risk
management of financial portfolios. Extreme value theory provides the solid fundamentals …

We derive a measure of aggregate systemic risk, designated CATFIN, that complements
bank-specific systemic risk measures by forecasting macroeconomic downturns six months …

The relationship between oil prices and metal prices has been extensively investigated.
However, the tail risk, systemic risk and spillover risk of oil prices have not been investigated …

This paper examines the intertemporal relation between downside risk and expected stock
returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of …

Dieses Buch gibt einen Überblick über die aktuellsten Entwicklungen im Bereich Value at
Risk (VaR) und Expected Tail Loss (ETL). Mit umfassenden Informationen zu verschiedenen …

We investigate the predictive performance of various classes of value‐at‐risk (VaR) models
in several dimensions—unfiltered versus filtered VaR models, parametric versus …

A classic book on credit risk management is updated to reflect the current economic crisis
Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit …