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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| Дата: | 2007 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4488 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
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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. |
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2023-03-24T08:30:22Z |
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2023-03-24T08:30:22Z |
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