Extreme Events In Financial Risk Management
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Extreme Events In Financial Risk Management
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Author : Thorsten Lehnert
language : en
Publisher:
Release Date : 2002
Extreme Events In Financial Risk Management written by Thorsten Lehnert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: Wiley
Release Date : 2016-10-10
Extreme Events In Finance written by Francois Longin and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-10 with Business & Economics categories.
"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"--
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-09-21
Extreme Events In Finance written by Francois Longin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-21 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
The Analysis Of Extreme Events With Applications To Financial Risk Management
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Author : Matthias Degen
language : en
Publisher:
Release Date : 2009
The Analysis Of Extreme Events With Applications To Financial Risk Management written by Matthias Degen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Extreme Financial Risks
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Author : Yannick Malevergne
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-16
Extreme Financial Risks written by Yannick Malevergne and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-16 with Mathematics categories.
"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
Horizon Problems And Extreme Events In Financial Risk Management
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Author : Peter Christoffersen
language : en
Publisher:
Release Date : 2007
Horizon Problems And Extreme Events In Financial Risk Management written by Peter Christoffersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Is volatility forecastability important for long-horizon risk management, or is a traditional constant-volatility assumption adequate? In this paper, the authors address this question, exploring the interface between long-horizon financial risk management and long-horizon volatility forecastability and, in particular, whether long-horizon volatility is forecastable enough such that volatility models are useful for long-horizon risk management.
Worst Case Economics
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Author : Frank Ackerman
language : en
Publisher: Anthem Press
Release Date : 2017-10-23
Worst Case Economics written by Frank Ackerman and has been published by Anthem Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-23 with Business & Economics categories.
Worst-case scenarios are all too real, and all too common. The financial crisis of 2008 was not the first or the last to destroy jobs, homeownership and the savings of millions of people. Hurricanes clobber communities from New York to Bangladesh. How bad will the next catastrophe be, and how soon will it happen? Climate and financial crises are serious events, requiring vigorous responses. Yet public policy is trapped in an obsolete framework, with a simplistic focus on average or likely outcomes rather than dangerous extremes. What would it take to create better analyses of extreme events in climate and finance, and an appropriate policy framework for worst-case risks? ‘Worst-Case Economics: Extreme Events in Climate and Finance’ offers accessible and surprising answers to these crucial questions.
Water Risk And Its Impact On The Financial Markets And Society
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Author : Thomas Walker
language : en
Publisher: Springer Nature
Release Date : 2021-08-20
Water Risk And Its Impact On The Financial Markets And Society written by Thomas Walker and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-20 with Business & Economics categories.
Water risks, including the lack of access to fresh water for personal and industrial use, droughts, floods, and water contamination, are problems that are not new, yet, they are amplifying in the face of climate change, population growth, and rapid economic development. Properly identifying, measuring, and managing these risks as well as taking advantage of related mitigation opportunities is essential for the future well-being of firms across various industries, investors who invest in these firms, local and federal governments, and ultimately our society as a whole. This edited book sheds light on this topic by examining the unique measurement and modelling challenges associated with either the scarcity or overabundance of water and their interaction with finance and society. Specifically, it explores approaches to assess and operationalize water risk, examines the vulnerability of institutions and markets, and discusses strategies for risk mitigation.
Managing Extreme Financial Risk
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Author : Karamjeet Paul
language : en
Publisher: Elsevier
Release Date : 2013-09-16
Managing Extreme Financial Risk written by Karamjeet Paul and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-16 with Business & Economics categories.
Managing Extreme Financial Risk addresses the need for better management strategies in light of increased market risk and volatility in financial institutions' revenue models. Top officials from the financial and regulatory industries point to real corporate issues, showing how institutions react to financial crises. From first-hand experiences, they explain how effective sustainability management does not just prevent being blindsided; it also leads to proactive solutions that enhance an institution's strength to weather a sudden financial crisis, add significant shareholder value, and reduce systemic risk. Readable, coherent, and logical, Managing Extreme Financial Risk shows how extreme risk needs to be handled when the cost of being wrong means the difference between life and death of the institution. Based on the firsthand experiences and perspectives of senior-level executives Concentrates on extreme risk, when the cost of being wrong is not the loss of profits, but the death of the institution Written to be easily understood without algorithms, models, and quants
From Extreme Events To Extreme Seasons Financial Stability Risks Of Climate Change In Mexico
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Author : Michaela Dolk
language : en
Publisher: International Monetary Fund
Release Date : 2023-08-25
From Extreme Events To Extreme Seasons Financial Stability Risks Of Climate Change In Mexico written by Michaela Dolk and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-25 with Business & Economics categories.
This paper explores the financial stability implications of acute physical climate change risks using a novel approach that focuses on a severe season associated with a sequence of tropical cyclone and flood events. Our approach was recently applied to study physical risks in the Mexican financial sector, but the framework is applicable to other countries as well. We show that even if the scale of individual climate events may not be material at an aggregate national scale, considering a sequence of events could lead to potentially significant macro-financial impacts in the short term. This could occur even if none of the individual events affect the particular region(s) with highest concentrations of banking sector exposures. Our results indicate potential for even greater effects in the future given the increasing severity and frequency of extreme events from climate change. Thus, this paper highlights the importance of considering sequences of extreme physical risk events driven by climate change, rather than just individual extreme events, to better understand financial stability implications and design effective policies.