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Produktbild: Extreme Events in Finance

Extreme Events in Finance A Handbook of Extreme Value Theory and its Applications

Aus der Reihe Wiley Handbooks in Financial Engineering and Econometrics

Fr. 213.00

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

17.10.2016

Herausgeber

Francois Longin

Verlag

John Wiley & Sons

Seitenzahl

640

Maße (L/B/H)

24.4/16.8/3 cm

Gewicht

975 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-65019-6

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

17.10.2016

Herausgeber

Francois Longin

Verlag

John Wiley & Sons

Seitenzahl

640

Maße (L/B/H)

24.4/16.8/3 cm

Gewicht

975 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-65019-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Extreme Events in Finance

  • About the Editor xiii

    About the Contributors xv

    1 Introduction 1
    François Longin

    1.1 Extremes 1

    1.2 History 2

    1.3 Extreme value theory 2

    1.4 Statistical estimation of extremes 2

    1.5 Applications in finance 4

    1.6 Practitioners' points of view 6

    1.7 A broader view on modeling extremes 6

    1.8 Final words 7

    1.9 Thank you note 7

    References 8

    2 Extremes Under Dependence-Historical Development and Parallels with Central Limit Theory 11
    M.R. Leadbetter

    2.1 Introduction 11

    2.2 Classical (I.I.D.) central limit and extreme value theories 12

    2.3 Exceedances of levels, kth largest values 14

    2.4 CLT and EVT for stationary sequences, bernstein's blocks, and strong mixing 15

    2.5 Weak distributional mixing for EVT, D(un), extremal index 18

    2.6 Point process of level exceedances 19

    2.7 Continuous parameter extremes 20

    References 22

    3 The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program 25
    Christian Walter

    3.1 The extreme value puzzle in financial modeling 25

    3.2 The sato classification and the two programs 28

    3.3 Mandelbrot's program: A fractal approach 34

    3.4 The Pragmatic Program: A data-driven approach 39

    3.5 Conclusion 47

    Acknowledgments 48

    References 48

    4 Extreme Value Theory: An Introductory Overview 53
    Isabel Fraga Alves and Cláudia Neves

    4.1 Introduction 53

    4.2 Univariate case 56

    4.3 Multivariate case: Some highlights 84

    Further reading 90

    Acknowledgments 90

    References 90

    5 Estimation of the Extreme Value Index 97
    Beirlant J., Herrmann K., and Teugels J.L.

    5.1 Introduction 97

    5.2 The main limit theorem behind extreme value theory 98

    5.3 Characterizations of the max-domains of attraction and extreme value index estimators 99

    5.4 Consistency and asymptotic normality of the estimators 103

    5.5 Second-order reduced-bias estimation 104

    5.6 Case study 106

    5.7 Other topics and comments 108

    References 111

    6 Bootstrap Methods in Statistics of Extremes 117
    M. Ivette Gomes, Frederico Caeiro, Lígia Henriques-Rodrigues, and B.G. Manjunath

    6.1 Introduction 117

    6.2 A few details on EVT 119

    6.3 The bootstrap methodology in statistics of univariate extremes 127

    6.4 Applications to simulated data 133

    6.5 Concluding remarks 133

    Acknowledgments 135

    References 135

    7 Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance 139
    Patrice Bertail, Stéphan Clémençon, and Charles Tillier

    7.1 Introduction 139

    7.2 On the (pseudo) regenerative approach for markovian data 141

    7.3 Preliminary results 151

    7.4 Regeneration-based statistical methods for extremal events 154

    7.5 The extremal index 156

    7.6 The regeneration-based hill estimator 159

    7.7 Applications to ruin theory and financial time series 161

    7.8 An application to the CAC40 165

    7.9 Conclusion 167

    References 167

    8 Lévy Processes and Extreme Value Theory 171
    Olivier Le Courtois and Christian Walter

    8.1 Introduction 171

    8.2 Extreme value theory 173

    8.3 Infinite divisibility and Lévy processes 178

    8.4 Heavy-tailed Lévy processes 182

    8.5 Semi-heavy-tailed Lévy processes 184

    8.6 Lévy processes and extreme values 187

    8.7 Conclusion 192

    References 192

    9 Statistics of Extremes: Challenges and Opportunities 195
    M. de Carvalho

    9.1 Introduction 195

    9.2 Statistics of bivariate extremes 196

    9.3 Models based on families of tilted measures 204

    9.4 Miscellanea 209

    References 211

    10 Measures of Financial Risk 215
    S.Y. Novak

    10.1 Introduction 215

    10.2 Traditional measures of risk 215

    10.3 Risk estimation 218

    10.4 "Technical analysis" of financial data 222

    10.5 Dynamic risk measurement 226

    10.6 Open problems and further research 234

    10.7 Conclusion 235

    Acknowledgment 235

    References 235

    11 On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures 239
    Marie Kratz

    11.1 Introduction 239

    11.2 A brief review of existing methods 245

    11.3 New approaches: Mixed limit theorems 247

    11.4 Application to risk measures and comparison 269

    11.5 Conclusion 277

    References 279

    12 Estimation Methods for Value at Risk 283
    Saralees Nadarajah and Stephen Chan

    12.1 Introduction 283

    12.2 General properties 289

    12.3 Parametric methods 300

    12.4 Nonparametric methods 326

    12.5 Semiparametric methods 332

    12.6 Computer software 344

    12.7 Conclusions 347

    Acknowledgment 347

    References 347

    13 Comparing Tail Risk and Systemic Risk Profiles for Different Types of U.S. Financial Institutions 357
    Stefan Straetmans and Thanh Thi Huyen Dinh

    13.1 Introduction 357

    13.2 Tail risk and systemic risk indicators 361

    13.3 Tail risk and systemic risk estimation 364

    13.4 Empirical results 368

    13.5 Conclusions 381

    References 382

    14 Extreme Value Theory and Credit Spreads 391
    Wesley Phoa

    14.1 Preliminaries 391

    14.2 Tail behavior of credit markets 394

    14.3 Some multivariate analysis 398

    14.4 Approximating value at risk for credit portfolios 401

    14.5 Other directions 403

    References 404

    15 Extreme Value Theory and Risk Management in Electricity Markets 405
    Kam Fong Chan and Philip Gray

    15.1 Introduction 405

    15.2 Prior literature 407

    15.3 Specification of VaR estimation approaches 409

    15.4 Empirical analysis 413

    15.5 Conclusion 422

    Acknowledgment 423

    References 423

    16 Margin Setting and Extreme Value Theory 427
    John Cotter and Kevin Dowd

    16.1 Introduction 427

    16.2 Margin setting 428

    16.3 Theory and methods 430

    16.4 Empirical results 434

    16.5 Conclusions 439

    Acknowledgment 440

    References 440

    17 The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation 443
    G. Geoffrey Booth and John Paul Broussard

    17.1 Introduction 443

    17.2 Data definitions and description 446

    17.3 Performance ratios and their estimations 451

    17.4 Performance measurement results and implications 456

    17.5 Concluding remarks 460

    Acknowledgments 461

    References 461

    18 Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method 465
    Philippe Bertrand and Jean-Luc Prigent

    18.1 Introduction 465

    18.2 The CPPI method 467

    18.3 CPPI and quantile hedging 472

    18.4 Conclusion 481

    References 481

    19 The Choice of the Distribution of Asset Returns: How Extreme Value Can Help? 483
    François Longin

    19.1 Introduction 483

    19.2 Extreme value theory 485

    19.3 Estimation of the tail index 488

    19.4 Application of extreme value theory to discriminate among distributions of returns 490

    19.5 Empirical results 493

    19.6 Conclusion 501

    References 501

    20 Protecting Assets Under Non-Parametric Market Conditions 507
    Jean-Marie Choffray and Charles Pahud de Mortanges

    20.1 Investors' "known knowns" 509

    20.2 Investors' "known unknowns" 512

    20.3 Investors' "unknown knowns" 515

    20.4 Investors' "unknown unknowns" 518

    20.5 Synthesis 522

    References 523

    21 EVT Seen by a Vet: A Practitioner's Experience on Extreme Value Theory 525
    Jean-François Boulier

    21.1 What has the vet done? 525

    21.2 Why use EVT? 526

    21.3 What EVT could additionally bring to the party? 528

    21.4 A final thought 528

    References 528

    22 The Robotization of Financial Activities: A Cybernetic Perspective 529
    Hubert Rodarie

    22.1 An increasingly complex system 530

    22.2 Human error 532

    22.3 Concretely, what do we need to do to transform a company into a machine? 534

    References 543

    23 Two Tales of Liquidity Stress 545
    Jacques Ninet

    23.1 The french money market fund industry. How history has shaped a potentially vulnerable framework 546

    23.2 The 1992-1995 forex crisis 547

    23.3 Four mutations paving the way for another meltdown 549

    23.4 The subprime crisis spillover. How some MMFs were forced to lock and some others not 551

    23.5 Conclusion. What lessons can be drawn from these two tales? 552

    Further Readings 553

    24 Managing Operational Risk in the Banking Business - An Internal Auditor Point of View 555
    Maxime Laot

    Further Reading 559

    References 560

    Annexes 560

    25 Credo Ut Intelligam 563
    Henri Bourguinat and Eric Briys

    25.1 Introduction 563

    25.2 "Anselmist" finance 563

    25.3 Casino or dance hall? 565

    25.4 Simple-minded diversification 566

    25.5 Homo sapiens versus homo economicus 568

    Acknowledgement 569

    References 569

    26 Bounded Rationalities, Routines, and Practical as well as Theoretical Blindness: On the Discrepancy Between Markets and Corporations 571
    Laurent Bibard

    26.1 Introduction: Expecting the unexpected 571

    26.2 Markets and corporations: A structural and self-disruptive divergence of interests 572

    26.3 Making a step back from a dream: On people expectations 574

    26.4 How to disentangle people from a unilateral short-term orientation? 578

    References 580

    Name Index 583

    Subject Index 593