Extreme value theory and copulas
Embrechts, Paul, 1953-
Extreme value theory and copulas [electronic resource] / by Paul Embrechts and Johanna Neslehova. - London : Henry Stewart Talks, 2007. - 1 online resource (1 streaming video file (41 min.) : color, sound). - Quantitative financial risk management : fundamentals, models and techniques . - Henry Stewart talks. Marketing & management collection. Quantitative financial risk management .
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.
System requirements: Browser compatibility: updated Mozilla Firefox, Google Chrome, Safari or Internet Explorer 8+. Browser settings: enable JavaScript, enable cookies from the Henry Stewart Talks site. Required Desktop Browser plugins & viewers: Updated Adobe Flash Player & Adobe Acrobat Reader. Mobile device & operating system versions: Android v2.1+, iPhone 4+ (iOS v5.x+), iPad 2+ (iOS v5.x+), BlackBerry OS v7.0+, Windows Phone v6.5.1+.
1205 Henry Stewart Talks
Financial risk management.
Extreme value theory and copulas [electronic resource] / by Paul Embrechts and Johanna Neslehova. - London : Henry Stewart Talks, 2007. - 1 online resource (1 streaming video file (41 min.) : color, sound). - Quantitative financial risk management : fundamentals, models and techniques . - Henry Stewart talks. Marketing & management collection. Quantitative financial risk management .
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.
Access restricted to subscribers.
Mode of access: World Wide Web.
System requirements: Browser compatibility: updated Mozilla Firefox, Google Chrome, Safari or Internet Explorer 8+. Browser settings: enable JavaScript, enable cookies from the Henry Stewart Talks site. Required Desktop Browser plugins & viewers: Updated Adobe Flash Player & Adobe Acrobat Reader. Mobile device & operating system versions: Android v2.1+, iPhone 4+ (iOS v5.x+), iPad 2+ (iOS v5.x+), BlackBerry OS v7.0+, Windows Phone v6.5.1+.
1205 Henry Stewart Talks
Financial risk management.