This handbook deals with extreme events in finance such as stock market crashes. It presents extreme value theory which allows one to estimate the statistical distribution of the largest variation of asset prices. It also presents application of the theory to finance in the fields of risk management and asset management. This handbook contains academic contributions in statistics and finance and also testimonies from practitioners.
LONGIN, F. [Ed] (2016). Extreme Events in Finance: Handbook of Extreme Value Theory and Its Applications. Wiley.