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A statistical analysis of the share price of the SAIR group (1996-2001) from a risk manager's point of view
Derivatives Use Trading and Regulation
Over recent years, extreme value theory (EVT). has been used in order to analyse statistically financial data showing clear non~normal behaviour Several examples in the areas of market, credit and operational risk have been discussed. This paper loo oks at the particular case of Swissair and quantifies, using EVT, the extremal behaviour of the returns. For this, the paper goes beyond traditional EVT and introduces new methodology such as smoothing and more advanced maximum likelihood techniques.
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