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Author | : Francois Longin |
Publisher | : John Wiley & Sons |
Total Pages | : 638 |
Release | : 2016-10-17 |
Genre | : Business & Economics |
ISBN | : 1118650190 |
Download Extreme Events in Finance Book in PDF, ePub and Kindle
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 | : Thorsten Lehnert |
Publisher | : |
Total Pages | : 140 |
Release | : 2002 |
Genre | : |
ISBN | : 9789090165103 |
Download Extreme Events in Financial Risk Management Book in PDF, ePub and Kindle
Author | : Yannick Malevergne |
Publisher | : Springer Science & Business Media |
Total Pages | : 312 |
Release | : 2006-01-16 |
Genre | : Mathematics |
ISBN | : 3540272666 |
Download Extreme Financial Risks Book in PDF, ePub and Kindle
"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 | : Francois Longin |
Publisher | : Wiley |
Total Pages | : 640 |
Release | : 2016-10-10 |
Genre | : Business & Economics |
ISBN | : 9781118650295 |
Download Extreme Events in Finance Book in PDF, ePub and Kindle
"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 | : Matthias Degen |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download The analysis of extreme events with applications to financial risk management Book in PDF, ePub and Kindle
Author | : VICKI M. BIER |
Publisher | : Routledge |
Total Pages | : 0 |
Release | : 2024-06-24 |
Genre | : Business & Economics |
ISBN | : 9781032837154 |
Download Risk in Extreme Environments Book in PDF, ePub and Kindle
Risk in Extreme Environments presents a wide-ranging discussion of approaches for assessing and managing extreme risks. The book includes case studies on nuclear power, infectious diseases, and global catastrophic risks, in addition to sections on risk assessment, risk management, and risk perceptions, and brings together interdisciplin
Author | : Jon Danielsson |
Publisher | : John Wiley & Sons |
Total Pages | : 307 |
Release | : 2011-04-20 |
Genre | : Business & Economics |
ISBN | : 1119977118 |
Download Financial Risk Forecasting Book in PDF, ePub and Kindle
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 | : Karamjeet Paul |
Publisher | : Elsevier |
Total Pages | : 173 |
Release | : 2013-09-16 |
Genre | : Business & Economics |
ISBN | : 0124172229 |
Download Managing Extreme Financial Risk Book in PDF, ePub and Kindle
Managing Extreme Financial Risk addresses the need for better management strategies in light of increased market risk and volatility in financial institutions' revenue models. Top officials from the financial and regulatory industries point to real corporate issues, showing how institutions react to financial crises. From first-hand experiences, they explain how effective sustainability management does not just prevent being blindsided; it also leads to proactive solutions that enhance an institution's strength to weather a sudden financial crisis, add significant shareholder value, and reduce systemic risk. Readable, coherent, and logical, Managing Extreme Financial Risk shows how extreme risk needs to be handled when the cost of being wrong means the difference between life and death of the institution. Based on the firsthand experiences and perspectives of senior-level executives Concentrates on extreme risk, when the cost of being wrong is not the loss of profits, but the death of the institution Written to be easily understood without algorithms, models, and quants
Author | : Peter Christoffersen |
Publisher | : |
Total Pages | : 10 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Horizon Problems and Extreme Events in Financial Risk Management Book in PDF, ePub and Kindle
Is volatility forecastability important for long-horizon risk management, or is a traditional constant-volatility assumption adequate? In this paper, the authors address this question, exploring the interface between long-horizon financial risk management and long-horizon volatility forecastability and, in particular, whether long-horizon volatility is forecastable enough such that volatility models are useful for long-horizon risk management.
Author | : Paul Embrechts |
Publisher | : Springer Science & Business Media |
Total Pages | : 657 |
Release | : 2013-03-14 |
Genre | : Business & Economics |
ISBN | : 3642334830 |
Download Modelling Extremal Events Book in PDF, ePub and Kindle
"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