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Measures of financial risks and market crashes

Measures of financial risks and market crashes

The problem of particular importance in financial risk management is forecasting the magnitude of a market crash. We address this problem using statistical inference on heavy–tailed distributions. Our approach involves accurate estimates of the tail index, extreme quantiles, and the mean excess func...

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Main Author: Novak, S.Y
Format: Article
Language:English
Published: Інститут математики НАН України 2007
Online Access:http://dspace.nbuv.gov.ua/handle/123456789/4488
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spelling irk-123456789-44882009-11-20T12:00:31Z Measures of financial risks and market crashes Novak, S.Y The problem of particular importance in financial risk management is forecasting the magnitude of a market crash. We address this problem using statistical inference on heavy–tailed distributions. Our approach involves accurate estimates of the tail index, extreme quantiles, and the mean excess function. We apply our approach to real financial data, and argue that the September 2001 crash had two components: one (systematic) could be predicted, while another (non–systematic) was due to the shock of the event. We present empirical evidence that the degree of tail heaviness can change considerably as one switches to less frequent data. This fact has important implications to the problem of estimating financial risks. 2007 Article Measures of financial risks and market crashes / S.Y.Novak // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 182-193. — Бібліогр.: 24 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4488 en Інститут математики НАН України
institution Digital Library of Periodicals of National Academy of Sciences of Ukraine
collection DSpace DC
language English
description The problem of particular importance in financial risk management is forecasting the magnitude of a market crash. We address this problem using statistical inference on heavy–tailed distributions. Our approach involves accurate estimates of the tail index, extreme quantiles, and the mean excess function. We apply our approach to real financial data, and argue that the September 2001 crash had two components: one (systematic) could be predicted, while another (non–systematic) was due to the shock of the event. We present empirical evidence that the degree of tail heaviness can change considerably as one switches to less frequent data. This fact has important implications to the problem of estimating financial risks.
format Article
author Novak, S.Y
spellingShingle Novak, S.Y
Measures of financial risks and market crashes
author_facet Novak, S.Y
author_sort Novak, S.Y
title Measures of financial risks and market crashes
title_short Measures of financial risks and market crashes
title_full Measures of financial risks and market crashes
title_fullStr Measures of financial risks and market crashes
title_full_unstemmed Measures of financial risks and market crashes
title_sort measures of financial risks and market crashes
publisher Інститут математики НАН України
publishDate 2007
url http://dspace.nbuv.gov.ua/handle/123456789/4488
citation_txt Measures of financial risks and market crashes / S.Y.Novak // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 182-193. — Бібліогр.: 24 назв.— англ.
work_keys_str_mv AT novaksy measuresoffinancialrisksandmarketcrashes
first_indexed 2023-03-24T08:30:22Z
last_indexed 2023-03-24T08:30:22Z
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