Extreme Values and Financial Risk
by Stephan Chan (Editor), Saralees Nadarajah (Editor)

About the Author
Stephen Chan, Assistant Professor, was awarded the EPSRC Doctoral Prize Fellowship in 2016 at the University of Manchester, UK. His research areas include extreme value analysis and distribution theory in analyzing financial commodities data and cryptocurrency data. He co-developed and co-wrote an R package entitled “VaRES” for computing value at risk and expected shortfall. He is a co-author of the book Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications.
Saralees Nadarajah is a Senior Lecturer in the School of Mathematics, University of Manchester, UK. His research interests include climate modeling, extreme value theory, distribution theory, information theory, sampling and experimental designs, and reliability. He is an author/co-author of four books, and has over 600 papers published or accepted. He has held positions in Florida, California, and Nebraska.

About this book
Since the 2008 financial crisis, modeling of the extreme values of financial risk has become important. Postgraduate programs and PhD research programs in mathematical finance are cropping up in nearly every university. Additionally, many conferences are being held annually on the topic of extreme financial risk. The aim of this Special Issue is to provide a collection of papers from leading experts in the area of extreme financial risk.

Contents

• Hierarchical Transmuted Log-Logistic Model: A Subjective Bayesian Analysis
• A New Generalization of the Pareto Distribution and Its Application to Insurance Data
• Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?
• Negative Binomial Kumaraswamy-G Cure Rate Regression Model
• Modified Stieltjes Transform and Generalized Convolutions of Probability Distributions
• The Burr X Pareto Distribution: Properties, Applications and VaR Estimation
• Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications
• GARCH Modelling of Cryptocurrencies
  

Length: 114 pages
Publisher: Mdpi AG (December 18, 2018)
Language: English
ISBN-10: 3038974390
ISBN-13: 978-3038974390