Living on the Edge - An introduction to extreme value theory - the study of fat-tailes return distributions and their risks which has proved useful in fields from medical statistics to heavy engineering and is now beginning to prove its worth in risk management.
| Year of publication: |
1998
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|---|---|
| Authors: | Embrechts, Paul ; Resnick, Sidney ; Samorodnitsky, Gennady |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 11.1998, 1, p. 96-98
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