Extreme Events In Finance

Author : Francois Longin
Publisher : John Wiley & Sons
Page : 638 pages
File Size : 44,7 Mb
Release : 2016-10-17
Category : Business & Economics
ISBN : 9781118650196

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Extreme Events in Finance by Francois Longin Pdf

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 : Francois Longin
Publisher : Wiley
Page : 640 pages
File Size : 46,5 Mb
Release : 2016-10-10
Category : Business & Economics
ISBN : 1118650298

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Extreme Events in Finance by Francois Longin Pdf

"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 as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"--

Author : Frank Ackerman
Publisher : Anthem Press
Page : 210 pages
File Size : 51,6 Mb
Release : 2017-10-23
Category : Business & Economics
ISBN : 9781783087082

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Worst-Case Economics by Frank Ackerman Pdf

Worst-case scenarios are all too real, and all too common. The financial crisis of 2008 was not the first or the last to destroy jobs, homeownership and the savings of millions of people. Hurricanes clobber communities from New York to Bangladesh. How bad will the next catastrophe be, and how soon will it happen? Climate and financial crises are serious events, requiring vigorous responses. Yet public policy is trapped in an obsolete framework, with a simplistic focus on average or likely outcomes rather than dangerous extremes. What would it take to create better analyses of extreme events in climate and finance, and an appropriate policy framework for worst-case risks? ‘Worst-Case Economics: Extreme Events in Climate and Finance’ offers accessible and surprising answers to these crucial questions.

Author : Lawrence J. Oxley
Publisher : John Wiley & Sons
Page : 182 pages
File Size : 44,7 Mb
Release : 2011-11-30
Category : Business & Economics
ISBN : 9781118204474

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Extreme Weather and The Financial Markets by Lawrence J. Oxley Pdf

The positive effects of climate change on the market Record-setting snowfall, cyclones in Australia, chronic drought in Russia, and other dramatic weather events are getting increased attention from scientists and the general public. The effects of climate change present challenges to many sectors, but also present major investing opportunities in the stock, bond, and futures markets. Extreme Weather and The Financial Markets looks at climate change from an investor's standpoint. The climate change debate is somewhat irrelevant to those in the financial industry, since we already live with more than enough extreme climate events to impact the financial markets. To the extent that environmental scientists are correct and global climate change is real and getting worse, the more investment opportunities we have The book presents investment ideas that will work under today's global climate condition and will become even more lucrative if global climate change continues Written by Larry Oxley, an acclaimed author who has personally outperformed the index in the Basic Materials sectors (i.e. chemicals, metals, mining, and forest products) for each of the last five years—in both good and bad markets and throughout the global recession—in a portfolio of nearly $2 billion Focusing on the investment opportunities during dramatic weather events, Extreme Weather and The Financial Markets offers advice on how to capitalize on global climate change.

Author : Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
Publisher : Springer Science & Business Media
Page : 672 pages
File Size : 50,9 Mb
Release : 2013-01-02
Category : Business & Economics
ISBN : 3540609318

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Modelling Extremal Events by Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch Pdf

"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 : Yannick Malevergne,Didier Sornette
Publisher : Springer Science & Business Media
Page : 312 pages
File Size : 52,8 Mb
Release : 2006-01-16
Category : Mathematics
ISBN : 9783540272663

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Extreme Financial Risks by Yannick Malevergne,Didier Sornette Pdf

"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 : Ali Fares
Publisher : Elsevier
Page : 256 pages
File Size : 49,9 Mb
Release : 2021-03-02
Category : Science
ISBN : 9780128232880

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Climate Change and Extreme Events by Ali Fares Pdf

Climate Change and Extreme Events uses a multidisciplinary approach to discuss the relationship between climate change-related weather extremes and their impact on human lives. Topics discussed are grouped into four major sections: weather parameters, hydrological responses, mitigation and adaptation, and governance and policies, with each addressed with regard to past, present and future perspectives. Sections give an overview of weather parameters and hydrological responses, presenting current knowledge and a future outlook on air and stream temperatures, precipitation, storms and hurricanes, flooding, and ecosystem responses to these extremes. Other sections cover extreme weather events and discuss the role of the state in policymaking. This book provides a valuable interdisciplinary resource to climate scientists and meteorologists, environmental researchers, and social scientists interested in extreme weather. Provides an integrated interdisciplinary approach to how climate change impacts the hydrological system Addresses significant knowledge gaps in our understanding of climate change and extreme events Discusses the societal impacts of climate change-related weather extremes, including multilevel governance and adaptation policy

Author : Serguei Y. Novak
Publisher : CRC Press
Page : 402 pages
File Size : 53,5 Mb
Release : 2011-12-20
Category : Mathematics
ISBN : 9781439835746

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Extreme Value Methods with Applications to Finance by Serguei Y. Novak Pdf

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 : Leonardo Martinez-Diaz,Jesse M. Keenan
Publisher : U.S. Commodity Futures Trading Commission
Page : 196 pages
File Size : 49,8 Mb
Release : 2020-09-09
Category : Science
ISBN : 9780578748412

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Managing Climate Risk in the U.S. Financial System by Leonardo Martinez-Diaz,Jesse M. Keenan Pdf

This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742

Author : Jon Danielsson
Publisher : John Wiley & Sons
Page : 307 pages
File Size : 50,8 Mb
Release : 2011-04-20
Category : Business & Economics
ISBN : 9781119977117

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Financial Risk Forecasting by Jon Danielsson Pdf

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 : Dipak K. Dey,Jun Yan
Publisher : CRC Press
Page : 538 pages
File Size : 47,5 Mb
Release : 2016-01-06
Category : Mathematics
ISBN : 9781498701310

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Extreme Value Modeling and Risk Analysis by Dipak K. Dey,Jun Yan Pdf

Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje

Author : Rolf-Dieter Reiss
Publisher : Unknown
Page : 0 pages
File Size : 52,6 Mb
Release : 1997
Category : Electronic
ISBN : OCLC:879921776

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Statistical Analysis of Extreme Values by Rolf-Dieter Reiss Pdf

Author : Barbel Finkenstadt,Holger Rootzen
Publisher : CRC Press
Page : 424 pages
File Size : 53,9 Mb
Release : 2003-07-28
Category : Mathematics
ISBN : 9781135438012

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Extreme Values in Finance, Telecommunications, and the Environment by Barbel Finkenstadt,Holger Rootzen Pdf

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 : Malcolm Kemp
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 48,5 Mb
Release : 2011-10-04
Category : Business & Economics
ISBN : 9781119962878

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Extreme Events by Malcolm Kemp Pdf

Taking due account of extreme events when constructing portfolios of assets or liabilities is a key discipline for market professionals. Extreme events are a fact of life in how markets operate. In Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails, leading expert Malcolm Kemp shows readers how to analyse market data to uncover fat-tailed behaviour, how to incorporate expert judgement in the handling of such information, and how to refine portfolio construction methodologies to make portfolios less vulnerable to extreme events or to benefit more from them. This is the only text that combines a comprehensive treatment of modern risk budgeting and portfolio construction techniques with the specific refinements needed for them to handle extreme events. It explains in a logical sequence what constitutes fat-tailed behaviour and why it arises, how we can analyse such behaviour, at aggregate, sector or instrument level, and how we can then take advantage of this analysis. Along the way, it provides a rigorous, comprehensive and clear development of traditional portfolio construction methodologies applicable if fat-tails are absent. It then explains how to refine these methodologies to accommodate real world behaviour. Throughout, the book highlights the importance of expert opinion, showing that even the most data-centric portfolio construction approaches ultimately depend on practitioner assumptions about how the world might behave. The book includes: Key concepts and methods involved in analysing extreme events A comprehensive treatment of mean-variance investing, Bayesian methods, market consistent approaches, risk budgeting, and their application to manager and instrument selection A systematic development of the refinements needed to traditional portfolio construction methodologies to cater for fat-tailed behaviour Latest developments in stress testing and back testing methodologies A strong focus on the practical implementation challenges that can arise at each step in the process and on how to overcome these challenges “Understanding how to model and analyse the risk of extreme events is a crucial part of the risk management process. This book provides a set of techniques that allow practitioners to do this comprehensively.” Paul Sweeting, Professor of Actuarial Science, University of Kent “How can the likeliness of crises affect the construction of portfolios? This question is highly topical in times where we still have to digest the last financial collapse. Malcolm Kemp gives the answer. His book is highly recommended to experts as well as to students in the financial field.” Christoph Krischanitz, President Actuarial Association of Austria, Chairman WG “Market Consistency” of Groupe Consultatif

Author : Nassim Nicholas Taleb
Publisher : Random House Digital, Inc.
Page : 388 pages
File Size : 44,9 Mb
Release : 2009-10-13
Category : Forecasting
ISBN : 9780812979183

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The Black Swan by Nassim Nicholas Taleb Pdf

In the author's point of view, a black swan is an improbable event with three principal characteristics - It is unpredictable; it carries a massive impact; and, after the fact, we concoct an explanation that makes it appear less random, and more predictable, than it was. Why do we not acknowledge the phenomenon of black swans until after they occur? Part of the answer, according to Taleb, is that humans are hardwired to learn specifics when they should be focused on generalities. We concentrate on things we already know and time and time again fail to take into consideration what we don't know. We are, therefore, unable to truly estimate opportunities, too vulnerable to the impulse to simplify, narrate, and categorize, and not open enough to rewarding those who can imagine the 'impossible'.