Extreme value theory and copulas [electronic resource] / by Paul Embrechts and Johanna Neslehova.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (41 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Extremes in quantitative risk management -- Limiting behaviour of sums and maxima -- Fisher/Tippett theorem -- Extreme value distributions and domains of attraction -- Block maxima method -- Threshold exceedances -- Picands/Balkema/de Haan theorem -- Threshold selection -- Quantile estimation -- Point process approach -- Banking and insurance regulation -- Critical appraisal.
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Mode of access: World Wide Web.