Search Results - subject:"Extreme value theory"

Hedge Funds' NAV Modeling Using Extreme Value and Lévy Copulas Techniques with Application to Securitization

Nahmani, Joachim - 2012

A crucial need for Hedge Funds Investors is bridge financing loans. As the market leader servicing the alternative world, Citco, through its Financial Products division (CFP), provides those credit facilities via a very sophisticated securitization platform. More precisely, CFP issues rated...

Persistent link: https://www.econbiz.de/10013104812

Risk in Emerging Stock Markets from Brazil and Mexico : Extreme Value Theory and Alternative Value at Risk Models

De Jesús, Raúl - 2012

capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing …

Persistent link: https://www.econbiz.de/10013110045

Extreme Movements in the Indian Equity Markets : An Extreme Value Theory Approach

Guru, Anuradha - 2012

risk modelling techniques which can predict and measure the probability of such risky events. Extreme Value Theory (EVT …

Persistent link: https://www.econbiz.de/10013110144

Extreme Value Theory for Finance : A Survey

Rocco, Marco - 2012

Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say … present study is twofold. The first part delivers a critical review of the theoretical underpinnings of extreme value theory …. The second part provides a survey of some major applications of extreme value theory to finance, namely its use to test …

Persistent link: https://www.econbiz.de/10013111271

Archetypal scientists

Seiler, Christian; Wohlrabe, Klaus - 2012

We introduce archetypal analysis as a tool to describe and categorize scientists. This approach identifies typical characteristics of extreme ('archetypal') values in a multivariate data set. These positive or negative contextual attributes can be allocated to each scientists under...

Persistent link: https://www.econbiz.de/10009682823

Wavelet improvement in turning point detection using a HMM model

Li, Yushu - 2012

Persistent link: https://www.econbiz.de/10009537286

Forecasting extreme volatility of FTSE-100 with model free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) option implied volatility indices

Markose, Sheri M.; Yue Peng; Alentorn, Amadeo - 2012

Persistent link: https://www.econbiz.de/10009544687

EGARCH models with fat tails, skewness and leverage

Harvey, Andrew C.; Sucarrat, Genaro - 2012

Persistent link: https://www.econbiz.de/10009579884

Estimation concerning risk under extreme value conditions

Cai, Juan-Juan - 2012

Persistent link: https://www.econbiz.de/10009733182

Portfolio Selection : An Extreme Value Approach

DiTraglia, Francis J. - 2012

We show theoretically that lower tail dependence (chi), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate chi for a sample of DJIA stocks and show that it differs...

Persistent link: https://www.econbiz.de/10013114036