Poon, Ser-Huang; and Rockinger, Michael; and Tawn, Jonathan (2004) Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications. Review of Financial Studies, 17 (2). pp. 581-610. ISSN 1465-7368Full text not available from this repository.
This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis. We show, using returns on five major stock indices, that the use of traditional dependence measures could lead to inaccurate portfolio risk assessment. We explain how the framework proposed here could be exploited in a number of finance applications such as portfolio selection, risk management, Sharpe ratio targeting, hedging, option valuation, and credit risk analysis.
|Journal or Publication Title:||Review of Financial Studies|
|Subjects:||Q Science > QA Mathematics|
|Departments:||Faculty of Science and Technology > Mathematics and Statistics|
|Deposited By:||Mrs Yaling Zhang|
|Deposited On:||13 Jun 2008 09:08|
|Last Modified:||24 Jan 2017 01:56|
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