Extreme events in finance, such as stock market crashes, have always been a fascinating subject. If many books by historians have been devoted to qualitative descriptions of these events, little attention has been paid to quantitative explanations. Recently, statistical methods -especially extreme value theory- have been proposed to deal with these events in a quantitative way. This special issue of Finance is aimed at collecting original contributions in this new area of research.
LONGIN, F. (2002). Introduction to Extreme Events in Finance. Finance, pp. 9-13.