Search Results - subject:"Extreme value theory"

Extreme value models in a conditional duration intensity framework

Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...

Persistent link: https://www.econbiz.de/10010607137

The extreme value theory as a tool to measure market risk

Avdulaj, Krenar - 2011

Value theory to capture large and rare risks. We compare estimates of this method with historical simulation and variance … Central Europe. The method uses the non-parametric empirical distribution to capture small risks and the parametric Extreme …

Persistent link: https://www.econbiz.de/10010322252

The simple econometrics of tail dependence

Oordt, Maarten R.C. van; Zhou, Chen - de Nederlandsche Bank - 2011

analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework …

Persistent link: https://www.econbiz.de/10009018575

Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks

Chernozhukov, Victor; Fernández‐Val, Iván - 2011

Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many...

Persistent link: https://www.econbiz.de/10014178700

Dependence Structure of Risk Factors and Diversification Effects

Zhou, Chen - 2011

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory …

Persistent link: https://www.econbiz.de/10013134455

Lock, Stock, and Barrel : A Comprehensive Assessment of the Determinants of Terror

Gassebner, Martin - 2011

We assess the robustness of previous findings on the determinants of terrorism. Using extreme bound analysis, the three most comprehensive terrorism datasets, and focusing on the three most commonly analyzed aspects of terrorist activity, i.e., location, victim, and perpetrator, we re-assess the...

Persistent link: https://www.econbiz.de/10013120973

Modelling Mortality Risk with Extreme Value Theory

Lovasz, Enrico - 2011

Financial losses due to unanticipated movements of mortality rates (either catastrophic mortality risk or longevity risk) have become a major concern for pension annuities. To transfer these risks to the capital market, a new risk management tool - mortality-linked securities - has been...

Persistent link: https://www.econbiz.de/10013125454

The extreme value theory as a tool to measure market risk

Avdulaj, Krenar - 2011

volatility times. -- Value-at-Risk ; Extreme Value Theory ; copula … Value theory to capture large and rare risks. We compare estimates of this method with historical simulation and variance … Central Europe. The method uses the non-parametric empirical distribution to capture small risks and the parametric Extreme …

Persistent link: https://www.econbiz.de/10009234152

Extreme value models in a conditional duration intensity framework

Herrera, Rodrigo; Schipp, Bernhard - 2011

from the German stock market index DAX. -- Extreme value theory ; autoregressive conditional duration ; value at risk …

Persistent link: https://www.econbiz.de/10009009682

Fat-tailed models for risk estimation

Stoyanov, Stoyan V.; Račev, Svetlozar T.; … - 2011

extreme risk modeling based on full distribution modeling and and extreme value theory. …

Persistent link: https://www.econbiz.de/10009010140