Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications.

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 1465-7368

Full text not available from this repository.

Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
Review of Financial Studies
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2003
Subjects:
?? financeeconomics and econometricsaccountingqa mathematics ??
ID Code:
9518
Deposited By:
Users 810 not found.
Deposited On:
13 Jun 2008 08:08
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2024 11:40