Extreme risks of financial investments

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

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Extreme risks of financial investments. / Liu, Ye; Tawn, Jonathan A.
Extreme Value Modeling and Risk Analysis: Methods and Applications. CRC Press, 2016. p. 399-418.

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Harvard

Liu, Y & Tawn, JA 2016, Extreme risks of financial investments. in Extreme Value Modeling and Risk Analysis: Methods and Applications. CRC Press, pp. 399-418.

APA

Liu, Y., & Tawn, J. A. (2016). Extreme risks of financial investments. In Extreme Value Modeling and Risk Analysis: Methods and Applications (pp. 399-418). CRC Press.

Vancouver

Liu Y, Tawn JA. Extreme risks of financial investments. In Extreme Value Modeling and Risk Analysis: Methods and Applications. CRC Press. 2016. p. 399-418

Author

Liu, Ye ; Tawn, Jonathan A. / Extreme risks of financial investments. Extreme Value Modeling and Risk Analysis: Methods and Applications. CRC Press, 2016. pp. 399-418

Bibtex

@inbook{7a05dee5b364463988f0fc3cecf22f06,

title = "Extreme risks of financial investments",

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.",

author = "Ye Liu and Tawn, {Jonathan A.}",

note = "Publisher Copyright: {\textcopyright} 2016 by Taylor & Francis Group, LLC.",

year = "2016",

month = jan,

day = "6",

language = "English",

isbn = "9781498701297",

pages = "399--418",

booktitle = "Extreme Value Modeling and Risk Analysis",

publisher = "CRC Press",

}

RIS

TY - CHAP

T1 - Extreme risks of financial investments

AU - Liu, Ye

AU - Tawn, Jonathan A.

PY - 2016/1/6

Y1 - 2016/1/6

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85052919742&partnerID=8YFLogxK

M3 - Chapter

AN - SCOPUS:85052919742

SN - 9781498701297

SP - 399

EP - 418

BT - Extreme Value Modeling and Risk Analysis

PB - CRC Press

ER -

Research