Preface

These notes are for both MATH562: Extreme Value Theory and MATH482/582: Assessing Financial Risk: Extreme Value Methods. The last chapter is for MATH482/582 only, and therefore not examinable for MATH562.

As the course is to take place over five weeks, the suggested schedule is

1st week: Chapters 1 and 2
2nd week: Chapter 3
3rd week: Chapter 4
4th week: Chapters 5 and 6
5th week: Chapter 7 (for MATH482/582 only)

Acknowledgements

These notes were adapted from lecture notes that have been developed over the years by Prof. Jonathan Tawn, Dr Janet Heffernan, Dr Stuart Coles, Dr Emma Eastoe, and Dr Jenny Wadsworth.