Extreme And Systemic Risk Analysis PDF Download
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Author | : Stefan Hochrainer-Stigler |
Publisher | : |
Total Pages | : 166 |
Release | : 2020 |
Genre | : Risk assessment |
ISBN | : 9789811526909 |
Download Extreme and Systemic Risk Analysis Book in PDF, ePub and Kindle
This book is about how extreme and systemic risk can be analyzed in an integrated way. Risk analysis is understood to include measurement, assessment as well as management aspects. Integration is understood as being able to perform risk analysis for extreme and systemic events simultaneously. The presented approach is based on Sklar's theorem, which states that a multivariate distribution can be separated into two parts - one describing the marginal distributions and the other describing the dependency between the distributions using a so-called copula. It is suggested to reinterpret Sklar's theorem from a system or network perspective, treating copulas as a network property and individual, including extreme, risk as elements within the network. In that way, extreme and systemic risk can be analyzed independently as well as jointly across several scales. The book is intended for a large audience, and all techniques presented are guided with examples and applications with a special focus on natural disaster events. Furthermore, an extensive literature and discussion of it are given in each chapter for the interested reader.
Author | : Stefan Hochrainer-Stigler |
Publisher | : Springer Nature |
Total Pages | : 166 |
Release | : 2020-04-06 |
Genre | : Nature |
ISBN | : 9811526893 |
Download Extreme and Systemic Risk Analysis Book in PDF, ePub and Kindle
This book is about how extreme and systemic risk can be analyzed in an integrated way. Risk analysis is understood to include measurement, assessment as well as management aspects. Integration is understood as being able to perform risk analysis for extreme and systemic events simultaneously. The presented approach is based on Sklar's theorem, which states that a multivariate distribution can be separated into two parts – one describing the marginal distributions and the other describing the dependency between the distributions using a so-called copula. It is suggested to reinterpret Sklar's theorem from a system or network perspective, treating copulas as a network property and individual, including extreme, risk as elements within the network. In that way, extreme and systemic risk can be analyzed independently as well as jointly across several scales. The book is intended for a large audience, and all techniques presented are guided with examples and applications with a special focus on natural disaster events. Furthermore, an extensive literature and discussion of it are given in each chapter for the interested reader.
Author | : Dipak K. Dey |
Publisher | : CRC Press |
Total Pages | : 538 |
Release | : 2016-01-06 |
Genre | : Mathematics |
ISBN | : 1498701310 |
Download Extreme Value Modeling and Risk Analysis Book in PDF, ePub and Kindle
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 | : Mr.Andreas A. Jobst |
Publisher | : International Monetary Fund |
Total Pages | : 93 |
Release | : 2013-02-27 |
Genre | : Business & Economics |
ISBN | : 1475557531 |
Download Systemic Contingent Claims Analysis Book in PDF, ePub and Kindle
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
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 | : Joseph G. Haubrich |
Publisher | : University of Chicago Press |
Total Pages | : 286 |
Release | : 2013-01-24 |
Genre | : Business & Economics |
ISBN | : 0226921964 |
Download Quantifying Systemic Risk Book in PDF, ePub and Kindle
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Author | : Bertrand K. Hassani |
Publisher | : Springer |
Total Pages | : 171 |
Release | : 2016-10-26 |
Genre | : Business & Economics |
ISBN | : 3319250566 |
Download Scenario Analysis in Risk Management Book in PDF, ePub and Kindle
This book focuses on identifying and explaining the key determinants of scenario analysis in the context of operational risk, stress testing and systemic risk, as well as management and planning. Each chapter presents alternative solutions to perform reliable scenario analysis. The author also provides technical notes and describes applications and key characteristics for each of the solutions. In addition, the book includes a section to help practitioners interpret the results and adjust them to real-life management activities. Methodologies, including those derived from consensus strategies, extreme value theory, Bayesian networks, Neural networks, Fault Trees, frequentist statistics and data mining are introduced in such a way as to make them understandable to readers without a quantitative background. Particular emphasis is given to the added value of the implementation of these methodologies.
Author | : Cesar Ariel Pinto |
Publisher | : CRC Press |
Total Pages | : 467 |
Release | : 2016-04-19 |
Genre | : Business & Economics |
ISBN | : 1000755657 |
Download Advanced Risk Analysis in Engineering Enterprise Systems Book in PDF, ePub and Kindle
Since the emerging discipline of engineering enterprise systems extends traditional systems engineering to develop webs of systems and systems-of-systems, the engineering management and management science communities need new approaches for analyzing and managing risk in engineering enterprise systems. Advanced Risk Analysis in Engineering Enterpri
Author | : Mr.Andreas A. Jobst |
Publisher | : International Monetary Fund |
Total Pages | : 93 |
Release | : 2013-02-27 |
Genre | : Business & Economics |
ISBN | : 1475572786 |
Download Systemic Contingent Claims Analysis Book in PDF, ePub and Kindle
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Author | : Christian Hugo Hoffmann |
Publisher | : Springer |
Total Pages | : 377 |
Release | : 2017-11-14 |
Genre | : Business & Economics |
ISBN | : 3658200324 |
Download Assessing Risk Assessment Book in PDF, ePub and Kindle
Christian Hugo Hoffmann undermines the citadel of risk assessment and management, arguing that classical probability theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new class of models which focus on the knowledge dimension by precisely describing market participants’ own positions and their propensity to react to outside changes. The author closes his thesis by a synthetical reflection on methods and elaborates on the meaning of decision-making competency in a risk management context in banking. By choosing this poly-dimensional approach, the purpose of his work is to explore shortcomings of risk management approaches of financial institutions and to point out how they might be overcome.