Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Détails

ID Serval
serval:BIB_11CABD1338C0
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
Périodique
Review of Financial Studies
Auteur⸱e⸱s
Poon S.-H., Rockinger M., Tawn J.
ISSN
0893-9454
Statut éditorial
Publié
Date de publication
2004
Peer-reviewed
Oui
Volume
17
Numéro
2
Pages
581-610
Langue
anglais
Résumé
This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis. We show, using returns on five major stock indices, that the use of traditional dependence measures could lead to inaccurate portfolio risk assessment. We explain how the framework proposed here could be exploited in a number of finance applications such as portfolio selection, risk management, Sharpe ratio targeting, hedging, option valuation, and credit risk analysis.
Web of science
Création de la notice
19/11/2007 9:31
Dernière modification de la notice
20/08/2019 12:39
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