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Author : Younes Bensalah,Bank of Canada
Publisher : Unknown
Page : 22 pages
File Size : 41,7 Mb
Release : 2000
Category : Extreme value theory
ISBN : 0662296699
Author : Francois Longin
Publisher : John Wiley & Sons
Page : 638 pages
File Size : 54,5 Mb
Release : 2016-10-17
Category : Business & Economics
ISBN : 9781118650196
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 : Serguei Y. Novak
Publisher : CRC Press
Page : 402 pages
File Size : 47,7 Mb
Release : 2011-12-20
Category : Mathematics
ISBN : 9781439835746
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 : Barbel Finkenstadt,Holger Rootzen
Publisher : CRC Press
Page : 424 pages
File Size : 43,7 Mb
Release : 2003-07-28
Category : Mathematics
ISBN : 9781135438012
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 : Jon Danielsson
Publisher : John Wiley & Sons
Page : 307 pages
File Size : 52,9 Mb
Release : 2011-04-20
Category : Business & Economics
ISBN : 9781119977117
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 : Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
Publisher : Springer Science & Business Media
Page : 648 pages
File Size : 40,5 Mb
Release : 2013-03-14
Category : Business & Economics
ISBN : 9783642334832
"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 : Hasan Dinçer,Ümit Hacioğlu
Publisher : Springer
Page : 386 pages
File Size : 55,8 Mb
Release : 2016-12-19
Category : Business & Economics
ISBN : 9783319471723
This book presents a broad overview of risk management in the banking industry, with a special focus on strategic thinking and decision-making. It reveals the broader context behind decision models and approaches to risk management in the financial industry, linking the regulatory landscape for capital management and risk to strategic thinking, together with behavioral and cultural assessments.
Author : Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
Publisher : Springer Science & Business Media
Page : 672 pages
File Size : 42,6 Mb
Release : 2013-01-02
Category : Business & Economics
ISBN : 3540609318
"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 : François Michel Longin
Publisher : Unknown
Page : 601 pages
File Size : 45,7 Mb
Release : 2016
Category : Extreme value theory
ISBN : 111865031X
"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 : Laurens de Haan,Ana Ferreira
Publisher : Springer Science & Business Media
Page : 421 pages
File Size : 42,6 Mb
Release : 2007-12-09
Category : Mathematics
ISBN : 9780387344713
Focuses on theoretical results along with applications All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion Concentration is on the probabilistic and statistical aspects of extreme values Excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity
Author : Michael CS Wong
Publisher : World Scientific
Page : 268 pages
File Size : 51,7 Mb
Release : 2011-07-29
Category : Business & Economics
ISBN : 9789814458689
In the aftermath of the financial crisis of 2008, many financial institutions have been exploring new methods to measure investment product risk. Lawmakers have been developing new rules that protect investors better than before. The purpose is to mitigate the risk of financial institutions that distribute investment products to their clients. This book presents professional views on investment product risk and analyzes complex investment product risk from various perspectives. Contributed by lawyers, risk managers, IT engineers and scholars, this book is an essential-read for financial regulators, bankers, investment advisors, financial engineers, risk managers, students and researchers. Contents:Bank Risk Management in Emerging Markets after the Enhanced Basel RulesProduct VaR ModellingIs It All About Disclosure? Regulating Structured Financial Products After the Lehman Brothers Minibonds SagaRegulation of Over-The-Counter Derivatives in AustraliaCredit Derivatives: Understanding Their Characteristics and Risk PotentialA New Framework for Asset-Backed Securities (ABSs)Risk Management of Collateralized Debt ObligationsFinancial Leverage Risk: New Definition and Empirical IllustrationEnabling Technology for More Pervasive and Responsive Market Risk Management SystemsA New Method of Stress Testing Investment Products Readership: Financial regulators, investment advisors, financial engineers, risk managers, researchers, students and academics studying or teaching risk analysis or investments. Keywords:Risk Management;Financial Regulation;Financial Law;Asset Securitization;Complex Investment Products;Investment AdvisoryKey Features:Presents professional views on the complexity and legal issues related to investment product riskProvides new insights on investment product risk to scholars, lawyers, regulators, risk specialists, and bank executives
Author : Michael Chak Sham Wong
Publisher : World Scientific
Page : 267 pages
File Size : 47,5 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814354998
1. Bank risk management in emerging markets after the enhanced Basel rules -- 2. Product VaR modeling -- 3. Is it all about disclosure? Regulating structured financial products after the Lehman Brothers minibonds saga -- 4. Regulation of over-the-counter derivatives in Australia -- 5. Credit derivatives : understanding their characteristics and risk potential -- 6. A new framework for asset-backed securities (ABSs) -- 7. Risk management of collateralized debt obligations -- 8. Financial leverage risk : new definition and empirical illustration -- 9. Enabling technology for more pervasive and responsive market risk management systems -- 10. A new method of stress testing investment products
Author : Vasant, Pandian,Weber, Gerhard,Punurai, Wonsiri
Publisher : IGI Global
Page : 407 pages
File Size : 43,7 Mb
Release : 2020-08-07
Category : Technology & Engineering
ISBN : 9781799839712
As environmental issues remain at the forefront of energy research, renewable energy is now an all-important field of study. And as smart technology continues to grow and be refined, its applications broaden and increase in their potential to revolutionize sustainability studies. This potential can only be fully realized with a thorough understanding of the most recent breakthroughs in the field. Research Advancements in Smart Technology, Optimization, and Renewable Energy is a collection of innovative research that explores the recent steps forward for smart applications in sustainability. Featuring coverage on a wide range of topics including energy assessment, neural fuzzy control, and biogeography, this book is ideally designed for advocates, policymakers, engineers, software developers, academicians, researchers, and students.
Author : Stuart Coles
Publisher : Springer Science & Business Media
Page : 219 pages
File Size : 50,8 Mb
Release : 2013-11-27
Category : Mathematics
ISBN : 9781447136750
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 : Sidney I. Resnick
Publisher : Springer
Page : 334 pages
File Size : 52,6 Mb
Release : 2013-12-20
Category : Mathematics
ISBN : 9780387759531
This book examines the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors. It emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces.