Analysis of Extreme Values with Application in Financial Engineering

The risks related to extreme events on financial markets are very difficult to quantify. The theory of extreme values is an important statistical discipline allowing for a more proper modeling of rare events. The proper analysis of extreme values, including methods of estimation, quantification of uncertainty, diagnostics, and maximal utilization of available data are considered in the course. We also make extensive use of R, a freely available language and environment for statistical computing and graphics.