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Author : Marios Nicou Kyriacou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (894 download)
Download or read book Financial Risk Measurement and Extreme Value Theory written by Marios Nicou Kyriacou and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Serguei Y. Novak
Publisher : CRC Press
ISBN 13 : 1439835748
Total Pages : 402 pages
Book Rating : 4.4/5 (398 download)
Download or read book Extreme Value Methods with Applications to Finance written by Serguei Y. Novak and published by CRC Press. This book was released on 2011-12-20 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers—in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster approximation, and nonparametric estimation methods. These topics have not been fully focused on in other books on extremes. In addition, the book covers: Extremes in samples of random size Methods of estimating extreme quantiles and tail probabilities Self-normalized sums of random variables Measures of market risk Along with examples from finance and insurance to illustrate the methods, Extreme Value Methods with Applications to Finance includes over 200 exercises, making it useful as a reference book, self-study tool, or comprehensive course text. A systematic background to a rapidly growing branch of modern Probability and Statistics: extreme value theory for stationary sequences of random variables.
Author : Francois Longin
Publisher : John Wiley & Sons
ISBN 13 : 1118650204
Total Pages : 690 pages
Book Rating : 4.1/5 (186 download)
Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-09-30 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Author : Jon Danielsson
Publisher : John Wiley & Sons
ISBN 13 : 1119977118
Total Pages : 307 pages
Book Rating : 4.1/5 (199 download)
Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Author : G. Tsevas
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (129 download)
Download or read book Extreme Value Theory and its Applications to Financial Risk Management written by G. Tsevas and published by . This book was released on 2006 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The phenomenon of high volatility in financial markets stemming from the increased complexity of financial instruments traded, as well as the evidence of losses due to natural and man-made catastrophes, highlight the need for sophisticated risk management practices. The analysis concerning the statistical distribution of extreme events (e.g. stock market crashes), is considered to be important for modern risk management. In this review paper, an introduction to the basic results of Extreme Value Theory (EVT) is made. More specifically, the methodological basis of EVT for quantile estimation is introduced. Moreover, EVT methods for estimating conditional probabilities concerning tail events, given that we incur a loss beyond a certain threshold u, are presented. Finally, the application of the theory is demonstrated by considering an example using equity return data.
Author : Barbel Finkenstadt
Publisher : CRC Press
ISBN 13 : 1135438013
Total Pages : 424 pages
Book Rating : 4.1/5 (354 download)
Download or read book Extreme Values in Finance, Telecommunications, and the Environment written by Barbel Finkenstadt and published by CRC Press. This book was released on 2003-07-28 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.
Author : Yannick Malevergne
Publisher : Springer Science & Business Media
ISBN 13 : 3540272666
Total Pages : 312 pages
Book Rating : 4.5/5 (42 download)
Download or read book Extreme Financial Risks written by Yannick Malevergne and published by Springer Science & Business Media. This book was released on 2006-01-16 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1351385224
Total Pages : 987 pages
Book Rating : 4.3/5 (513 download)
Download or read book Handbook of Financial Risk Management written by Thierry Roncalli and published by CRC Press. This book was released on 2020-04-23 with total page 987 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874
Author : Saralees Nadarajah
Publisher : MDPI
ISBN 13 : 3038974390
Total Pages : 115 pages
Book Rating : 4.0/5 (389 download)
Download or read book Extreme Values and Financial Risk written by Saralees Nadarajah and published by MDPI. This book was released on 2019-01-15 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM
Author : J. Galambos
Publisher : Springer Science & Business Media
ISBN 13 : 1461336384
Total Pages : 526 pages
Book Rating : 4.4/5 (613 download)
Download or read book Extreme Value Theory and Applications written by J. Galambos and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: It appears that we live in an age of disasters: the mighty Missis sippi and Missouri flood millions of acres, earthquakes hit Tokyo and California, airplanes crash due to mechanical failure and the seemingly ever increasing wind speeds make the storms more and more frightening. While all these may seem to be unexpected phenomena to the man on the street, they are actually happening according to well defined rules of science known as extreme value theory. We know that records must be broken in the future, so if a flood design is based on the worst case of the past then we are not really prepared against floods. Materials will fail due to fatigue, so if the body of an aircraft looks fine to the naked eye, it might still suddenly fail if the aircraft has been in operation over an extended period of time. Our theory has by now penetrated the so cial sciences, the medical profession, economics and even astronomy. We believe that our field has come of age. In or~er to fully utilize the great progress in the theory of extremes and its ever increasing acceptance in practice, an international conference was organized in which equal weight was given to theory and practice. This book is Volume I of the Proceedings of this conference. In selecting the papers for Volume lour guide was to have authoritative works with a large variety of coverage of both theory and practice.
Author : Bernhard Pfaff
Publisher : John Wiley & Sons
ISBN 13 : 1119119685
Total Pages : 448 pages
Book Rating : 4.1/5 (191 download)
Download or read book Financial Risk Modelling and Portfolio Optimization with R written by Bernhard Pfaff and published by John Wiley & Sons. This book was released on 2016-08-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
Download or read book Extreme value theory: value at risk for fixed-income assets written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A partir da década de 90, a metodologia Value at Risk (VaR) se difundiupelo mundo, tanto em instituições financeiras quanto em não financeiras, comouma boa prática de mensuração de riscos. Em geral, abordagens paramétricas sãomuito utilizadas pelo mercado, apesar de freqüentemente não levarem em contauma característica muito encontrada nas distribuições dos retornos de ativosfinanceiros: a presença de caudas pesadas. Uma abordagem baseada na Teoria dosValores Extremos (TVE) é uma boa solução quando se deseja modelar caudas dedistribuições probabilísticas que possuem tal característica. Em contra partida, poucos são os trabalhos que procuram desenvolver a TVE aplicada a ativos derenda-fixa. Com base nisto, este estudo propõe uma abordagem de simplesimplementação de cálculo de VaR para ativos de renda-fixa baseado na Teoria dosValores Extremos.
Author : Paul Embrechts
Publisher : Springer Science & Business Media
ISBN 13 : 9783540609315
Total Pages : 672 pages
Book Rating : 4.6/5 (93 download)
Download or read book Modelling Extremal Events written by Paul Embrechts and published by Springer Science & Business Media. This book was released on 2013-01-02 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS
Author : Apostolos-Paul N. Refenes
Publisher : Springer Science & Business Media
ISBN 13 : 1461556252
Total Pages : 472 pages
Book Rating : 4.4/5 (615 download)
Download or read book Decision Technologies for Computational Finance written by Apostolos-Paul N. Refenes and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.
Author : Stuart Coles
Publisher : Springer Science & Business Media
ISBN 13 : 1447136756
Total Pages : 219 pages
Book Rating : 4.4/5 (471 download)
Download or read book An Introduction to Statistical Modeling of Extreme Values written by Stuart Coles and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.
Author : Sheena Lianne Baldwin
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (55 download)
Download or read book Extreme Value Theory written by Sheena Lianne Baldwin and published by . This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management written by Francis X. Diebold and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence hold promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated, and that at any rate much of the potential of EVT remains latent. We substantiate this claim by sketching a number of pitfalls associate with use of EVT techniques. More constructively, we show how certain of the pitfalls can be avoided, and we sketch a number of explicit research directions that will help the potential of EVT to be realized.
