Download or read book The Use of Extreme Value Theory for Return Predictability written by David Happersberger and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Extreme Values in Finance Telecommunications and the Environment written by Barbel Finkenstadt and published by CRC Press. This book was released on 2003-07-28 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.
Download or read book Extreme Value Theory and its Applications to Financial Risk Management written by G. Tsevas and published by . This book was released on 2006 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The phenomenon of high volatility in financial markets stemming from the increased complexity of financial instruments traded, as well as the evidence of losses due to natural and man-made catastrophes, highlight the need for sophisticated risk management practices. The analysis concerning the statistical distribution of extreme events (e.g. stock market crashes), is considered to be important for modern risk management. In this review paper, an introduction to the basic results of Extreme Value Theory (EVT) is made. More specifically, the methodological basis of EVT for quantile estimation is introduced. Moreover, EVT methods for estimating conditional probabilities concerning tail events, given that we incur a loss beyond a certain threshold u, are presented. Finally, the application of the theory is demonstrated by considering an example using equity return data.
Download or read book Extreme Values Theory and Return Level Analysis for Catastrophe Prediction written by Amitesh Kapoor and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: As the trade and information flow in the financial markets increasing, they are becoming more volatile and sensitive to extreme events. Markets are now characterized by more frequent extreme events. Generally such extreme events in the market are not normally distributed and need to be modeled separately. Extreme value theory (EVT) is highly successful and is dedicated for modeling these catastrophic events. Now the question is which extreme value can be better estimated monthly, quarterly or yearly. Hence returns are divided in the blocks of various sizes and minimum return in these blocks is modeled using GEV distribution. Gumbel, Frechet and Webuill type GEV distribution parameters for blocks of minimum monthly, quarterly and yearly returns are estimated for Nasdaq returns of last 30 years. Other aim of this paper is to determine accuracy of return level estimates obtained using GEV distribution. Return level can be useful in characterizing bearish and bullish trend and predicting the same.
Download or read book Extreme Value Theory and Applications written by J. Galambos and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: It appears that we live in an age of disasters: the mighty Missis sippi and Missouri flood millions of acres, earthquakes hit Tokyo and California, airplanes crash due to mechanical failure and the seemingly ever increasing wind speeds make the storms more and more frightening. While all these may seem to be unexpected phenomena to the man on the street, they are actually happening according to well defined rules of science known as extreme value theory. We know that records must be broken in the future, so if a flood design is based on the worst case of the past then we are not really prepared against floods. Materials will fail due to fatigue, so if the body of an aircraft looks fine to the naked eye, it might still suddenly fail if the aircraft has been in operation over an extended period of time. Our theory has by now penetrated the so cial sciences, the medical profession, economics and even astronomy. We believe that our field has come of age. In or~er to fully utilize the great progress in the theory of extremes and its ever increasing acceptance in practice, an international conference was organized in which equal weight was given to theory and practice. This book is Volume I of the Proceedings of this conference. In selecting the papers for Volume lour guide was to have authoritative works with a large variety of coverage of both theory and practice.
Download or read book An Application of Extreme Value Theory to Finance An Empirical Study of Whether Stock Shape Parameters and the Differences Between Corresponding Actual and BSM Put Option Values Are Positively Correlated written by Sophia Bieri and published by . This book was released on 2020 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large stock price movements and financial crises are a common occurrence relative to the belief of normality in markets, and they are becoming more common as the world becomes more interconnected and more technology driven. After large dips in prices and after crises the topic of risk management, specifically tail risk quantification, comes into the focus of not just researchers, but is also put into question by the general public. Recently, Extreme Value Theory, originally targeted at the study of weather and climate, entered the field of risk management and provided a new approach to measuring tail risk, letting the data speak for itself rather than underpinning distributional assumptions as most approaches had done thus far. This thesis employs Extreme Value Theory, specifically the Peaks over Threshold approach or Generalized Pareto Distribution approach, in order to quantify the tail thickness of the left tail of stock return distributions of the S&P 500 index and its constituents. The thesis then assesses the relationship between the tail fatness of the underlying stock and the absolute as well as relative difference between the actual put option value and the put option value according to Black Scholes Merton. The hypothesis is that thicker left tails imply that large negative movements are more probable than under the Gaussian assumption. This in turn could display itself in an undervaluation of put options, in particular deep out of the money put options, as calculated by traditional BSM. In the analysis, neither the absolute nor the relative differences seem to show a relationship to respective shape parameters. However, the averages of the absolute differences of deep out of the money put options do appear to be very small in size, indicating a valuation close to that of the BSM model, while the averages of the relative differences of deep out of the money put options are for the larger part close to 100%, indicating a complete undervaluation of these put options by BSM, regardless of the shape parameter. The lack of relationship between shape parameters and differences begs the question of whether buyers are valuing options correctly and the employed methodology is wrong or whether the thesis methodology is appropriate and buyers are mistaken. A short analysis provides evidence pointing to the latter.
Download or read book Dynamics and Predictability of Large Scale High Impact Weather and Climate Events written by Jianping Li and published by Cambridge University Press. This book was released on 2016-03-24 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the dynamical processes between high-impact weather and climate events, and between atmospheric and ocean phenomena.
Download or read book Extreme Value Theory in Engineering written by Enrique Castillo and published by Elsevier. This book was released on 2012-12-02 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a comprehensive guide to extreme value theory in engineering. Written for the end user with intermediate and advanced statistical knowledge, it covers classical methods as well as recent advances. A collection of 150 examples illustrates the theoretical results and takes the reader from simple applications through complex cases of dependence.
Download or read book Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management written by Francis X. Diebold and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence hold promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated, and that at any rate much of the potential of EVT remains latent. We substantiate this claim by sketching a number of pitfalls associate with use of EVT techniques. More constructively, we show how certain of the pitfalls can be avoided, and we sketch a number of explicit research directions that will help the potential of EVT to be realized.
Download or read book On extreme value statistics written by Chen Zhou and published by Rozenberg Publishers. This book was released on 2008 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 18th century, statisticians sometimes worked as consultants to gamblers. In order to answer questions like "If a fair coin is flipped 100 times, what is the probability of getting 60 or more heads?", Abraham de Moivre discovered the so-called "normal curve". Independently, Pierre-Simon Laplace derived the central limit theorem, where the normal distribution acts as the limit for the distribution of the sample mean. Nowadays, statisticians sometimes work as consultants for economists, to whom the normal distribution is far from a satisfactory model. For example, one may need to model large-impact financial events in order to to answer questions like "What is the probability of getting into a crisis period similar to the credit squeeze in 2007 in the coming 10 years?". At first glance, estimating the chances of events that rarely happen or even have never happened before sounds like a "mission impossible". The development of Extreme Value Theory (EVT) shows that it is in fact possible to achieve this goal. Different from the central limit theorem, Extreme Value Theory starts from the limit distribution of the sample maximum. Initiated by M. Frechet, R. Fisher and R. von Mises, the limit theory completed by B. Gnedenko, gave the fundamental assumption in EVT, the "extreme value condition". Statistically, the extreme value condition provides a semi-parametric model for the tails of distribution functions. Therefore it can be applied to evaluate the rare events. On the other hand, since the assumption is rather general and natural, the semi-parametric model can have extensive applications in numerous felds.
Download or read book Steps in Applying Extreme Value Theory to Finance written by Younes Bensalah and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Extreme Events in Finance written by François Michel Longin and published by . This book was released on 2016 with total page 601 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"--
Download or read book From Value at Risk to Stress Testing written by François M. Longin and published by . This book was released on 1999 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Extreme Value Methods with Applications to Finance written by Serguei Y. Novak and published by CRC Press. This book was released on 2011-12-20 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown di
Download or read book Applications of Extreme Value Theory for Market Risks Estimation written by Nilaish Nilaish and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analytically review the applications of Extreme Value Theory for Market Risks Estimation. The mathematical definitions of modelling tails are explained and illustrated using suitable example. The application of EVT is significant to risk measures and educates the managers to understand the consequential trends in broader sense. The end of decade (1998-2008) has been characterized by significant instabilities in financial markets worldwide. It has led to numerous criticisms about the existing risk management systems and motivated the search for more appropriate methodologies capable of coping with rare events that have bad consequences.
Download or read book Handbook of the Economics of Finance SET Volumes 2A 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars
Download or read book Extreme value theory value at risk for fixed income assets written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A partir da década de 90, a metodologia Value at Risk (VaR) se difundiupelo mundo, tanto em instituições financeiras quanto em não financeiras, comouma boa prática de mensuração de riscos. Em geral, abordagens paramétricas sãomuito utilizadas pelo mercado, apesar de freqüentemente não levarem em contauma característica muito encontrada nas distribuições dos retornos de ativosfinanceiros: a presença de caudas pesadas. Uma abordagem baseada na Teoria dosValores Extremos (TVE) é uma boa solução quando se deseja modelar caudas dedistribuições probabilísticas que possuem tal característica. Em contra partida, poucos são os trabalhos que procuram desenvolver a TVE aplicada a ativos derenda-fixa. Com base nisto, este estudo propõe uma abordagem de simplesimplementação de cálculo de VaR para ativos de renda-fixa baseado na Teoria dosValores Extremos.
