Search Results - subject:"Extreme value theory"

Extreme value methods with applications to finance

Novak, Serguei Y. - 2012 - Online-Ausg.

Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain … Statistics: extreme value theory for stationary sequences of random variables. … -- Author -- Part I: Distribution of Extremes -- 1. Methods of Extreme Value Theory -- 2. Maximum of Partial Sums -- 3. Extremes …

Persistent link: https://www.econbiz.de/10012678556

Multivariate Modellierung operationeller Risiken in Kreditinstituten

Bayer, Verena - 2012

Operationelle Risiken betreffen nahezu jede Geschäftstätigkeit von Banken. Sie verfügen über ein hohes Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur Quantifizierung operationeller Risiken und der...

Persistent link: https://www.econbiz.de/10014016438

Copula–GARCH Time-Varying Tail Dependence

Chen, Jiaqi; Gunther, Jeffery W. - In: 30th anniversary edition, (pp. 411-425). 2012

Tail-dependence evolution for the symmetrized Joe–Clayton copula is proposed to depend on an exponentially weighted moving average (EWMA) of the absolute difference in probability integral transforms. Using these dynamics, time-varying tail dependence between bank and insurance equity prices...

Persistent link: https://www.econbiz.de/10015378493

Modelling extreme financial returns of global equity markets

Cotter, John - 2004

divergences in the tail returns fromaround the world. To do so, it applies extreme value theory to equity indicesrepresenting …

Persistent link: https://www.econbiz.de/10009475644

When statistics fail : extreme events in financial institutions

Sundmacher, Maike; Ford, Guy - University of Western Sydney; Macquarie University; … - 2004

Extreme value theory (EVT) is regularly put forward by academics, practitioners and banking regulators as a methodology …

Persistent link: https://www.econbiz.de/10009482233

The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee

Moscadelli, Marco - Banca d'Italia - 2004

Value Theory in representing the highest percentiles of the data sets: the exercise shows that the extreme value model, in … aims, first of all, to compare the sensitivity of conventional actuarial distributions and models stemming from the Extreme …

Persistent link: https://www.econbiz.de/10005467320

Mandelbrot's Extremism

Beirlant, J.; Schoutens, W.; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2004

in our models.A modern toolbox for analyzing such rare events can be found in the field of extreme value theory.At the … core of extreme value theory lies the modelling of maxima over large blocks of observations and of excesses over high …

Persistent link: https://www.econbiz.de/10011091033

Extreme Value Theory and the Incidence of Currency Crises

Siregar, Reza; Pontines, Victor; Rajan, Ramkishen - Econometric Society - 2004

A common feature of numerous studies on early warning systems (EWS) of currency crisis is the use of an index of exchange market pressure, defined as a weighted average of the rate of depreciation, the monthly percentage changes in international reserves, and sometimes the inclusion of the...

Persistent link: https://www.econbiz.de/10005063670

Competition and Consumer Confusion

Laibson, David; Gabaix, Xavier - Econometric Society - 2004

which rational firms sell goods to consumers who evaluate products with noise. Using results from extreme value theory, we …

Persistent link: https://www.econbiz.de/10005063732

Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data

JALAL, Amine; ROCKINGER, Michael - Swiss Finance Institute - 2004

We investigate the consequences for value-at-risk and expected short-fall purposes of using a GARCH filter on various mis-specified processes. We show that careful investigation of the adequacy of the GARCH filter is necessary since under mis-specifications a GARCH filter appears to do more harm...

Persistent link: https://www.econbiz.de/10005827312