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: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | https://nasplib.isofts.kiev.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| _version_ | 1862710176889438208 |
|---|---|
| author | Novak, S.Y |
| author_facet | Novak, S.Y |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-12-07T17:23:04Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4488 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T17:23:04Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Novak, S.Y 2009-11-19T10:20:43Z 2009-11-19T10:20:43Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4488 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. en Інститут математики НАН України Measures of financial risks and market crashes Article published earlier |
| spellingShingle | Measures of financial risks and market crashes Novak, S.Y |
| title | 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_short | Measures of financial risks and market crashes |
| title_sort | measures of financial risks and market crashes |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4488 |
| work_keys_str_mv | AT novaksy measuresoffinancialrisksandmarketcrashes |