Extreme value theory and copulas [electronic resource] / by Paul Embrechts and Johanna Neslehova.

By:

Embrechts, Paul, 1953- [spk]

Contributor(s):

Neslehova, Johanna [spk]

Material type: Film

FilmPublisher number: 1205 | Henry Stewart TalksSeries: Henry Stewart talks. Marketing & management collection. Quantitative financial risk managementPublication details: London : Henry Stewart Talks, 2007.Description: 1 online resource (1 streaming video file (41 min.) : color, sound)Subject(s):

Financial risk management

Online resources:

Contents:

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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Holdings
Item type	Current library	Home library	Call number	Status	Date due	Barcode
Books	Chinhoyi University of Technology Libraries	Chinhoyi University of Technology Libraries		Available

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