Statistics of Multivariate Extremes with Applications in Risk Management
von Dr. Rodrigo Herrera
Statistik und Sichtungsnachweis dieser Seite findet sich am Artikelende
| [1.] Rh/Fragment 174 08 - Diskussion Zuletzt bearbeitet: 2012-07-31 15:53:16 WiseWoman | Embrechts et al. 1999, Fragment, Gesichtet, KomplettPlagiat, Rh, SMWFragment, Schutzlevel sysop |
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| Untersuchte Arbeit: Seite: 174, Zeilen: 8-13 |
Quelle: Embrechts_et_al._1999 Seite(n): 1, Zeilen: 11-16 |
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| On one hand the conditional correlation lies at the heart of the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT), where its use as a measure of dependence between financial instruments is essentially founded on an assumption of multivariate normally distributed returns. Increasingly, however, correlation is being used as a dependence measure in general risk management, often in areas where the assumption of multivariate normal risks is completely untenable. | Correlation lies at the heart of the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT), where its use as a measure of dependence between financial instruments is essentially founded on an assumption of multivariate normally distributed returns. Increasingly, however, correlation is being used as a dependence measure in general risk management, often in areas where the assumption of multivariate normal risks is completely untenable |
A source is not given. |
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| [2.] Rh/Fragment 174 22 - Diskussion Zuletzt bearbeitet: 2012-08-01 19:36:52 Graf Isolan | Fragment, Gesichtet, Poon et al. 2003, Rh, SMWFragment, Schutzlevel sysop, Verschleierung |
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| Untersuchte Arbeit: Seite: 174, Zeilen: 22-28 |
Quelle: Poon et al. 2003 Seite(n): 931, Zeilen: 1-7 |
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| The conventional multivariate extreme value theory has emphasized the asymptotically dependent class resulting in its wide use in all the finance applications. However, if the series are truly asymptotically independent, such an approach will result in the over estimation of extreme value dependence and consequently of the measure of extreme risk.
In particular, this degree of asymptotic independence is directly related to the over estimation of different measures of risk. Despite this potential drawback, the case of asymptotically independent models has so far been missing from the finance literature. |
Conventional multivariate extreme value theory has emphasized the asymptotically dependent class resulting in its wide use in all the finance applications listed above. If the series are truly asymptotically independent, such an approach will result in the over-estimation of extreme value dependence, and consequently of the financial risk. The degree of this over-estimation depends on the degree of asymptotic independence. Despite this potential for bias, the case for asymptotically independent models has so far been missing from the finance literature. |
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Letzte Bearbeitung dieser Seite: durch Benutzer:WiseWoman, Zeitstempel: 20120731155342