Extreme risks of financial investments

Liu, Ye and Tawn, Jonathan A. (2016) Extreme risks of financial investments. In: Extreme Value Modeling and Risk Analysis. CRC Press, pp. 399-418. ISBN 9781498701297

Full text not available from this repository.

Abstract

A range of statistical models for the joint distribution of different financial market returns has been developed. The statistical property of interest is the tail behaviour of these models and their abilities to capture features of extreme events in the financial markets, such as sharp falls in one or multiple markets within a short period of time. A conditional approach based on multivariate extreme value theory is considered and compared to a few other benchmark models commonly used in the industry. The conditional approach is extended to have hierarchically structured parameters with the aim to incorporate the underlying financial market factors. Analysis based on both simulated and empirical data shows that the proposed approaches are more suited for modelling the extreme events than the industrial benchmarks.

Item Type:
Contribution in Book/Report/Proceedings
Additional Information:
Publisher Copyright: © 2016 by Taylor & Francis Group, LLC.
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600
Subjects:
ID Code:
177754
Deposited By:
Deposited On:
26 Oct 2022 08:50
Refereed?:
No
Published?:
Published
Last Modified:
21 Nov 2022 17:50