Measures of financial risks and market crashes

• Datum: 2007
• 1. Verfasser: Novak, S.Y
• Format: Artikel
• Sprache: English
• Veröffentlicht: Інститут математики НАН України 2007
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4488
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Zitieren: 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.

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...