McNeil, A. J., (1999). Extreme Value Theory for Risk Managers, preprint, ETH, Zurich. Home/Search Document Details and Download
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Conditional And Unconditional Risk Management Estimates For.. - Cotter (Correct)
....R, through a time varying GARCH filter. The predictive t n step ahead conditional VaR forecasts can also be developed using this approach with examples of adjustments to the one period VaR forecasts using the square root of time scaling factor and a Monte Carlo based technique discussed in McNeil (1999). Similarly, the conditional ELP requires a simple adjustment to the unconditional measure: ELP[R t r p ] t 1 s t 1 ELP [Zr p ] 18) GARCH Filtering Procedure In order to obtain the conditional risk estimates, related measures of the mean and variance parameters, and more importantly, ....
....risk estimates, related measures of the mean and variance parameters, and more importantly, the sequence Z are required. A number of alternative methods have previously been applied to financial returns. These include GARCH M (Cotter, 1998) and ARMA GARCH (Barone Adesi, 1999) and ARGARCH (McNeil, 1999) specifications. The latter approach is used here as it fulfils the objectives of obtaining a forecast of the conditional expected value t 1 through the AR component of the filter, the conditional variance s t 1 and residual sequence Z through the GARCH component. Dealing with the method of ....
McNeil, A. J., (1999). Extreme Value Theory for Risk Managers, preprint, ETH, Zurich.
Korrelationen und Copulas - Wüthrich (Correct)
....10 000 simulierte Daten von zwei bivariaten Verteilungen. Bei beiden Beispielen sind die Randverteilungen von X 1 und X 2 standard normal, und es gilt (X 1 ; X 2 ) 0:7. Beim linken Beispiel haben wir Gauss sche Abh angigkeit , beim rechten Beispiel Gumbel Abh angigkeit (Datenquelle: McNeil [4]) Bereits Aufgabe 0.2 zeigt, dass der Begri der Abh angigkeiten viel tiefer geht, als die Abh angigkeit, die durch (lineare) Korrelationen beschrieben werden kann. An dieser Stelle ist extreme Vorsicht gefordert, denn der Begri der Varianzen (und Korrelationen) ist nur ein gutes Mass f ur die ....
A.J. McNeil, Extreme value theory for risk managers, Preprint 1999.
Extreme Value Theory: Potential And Limitations As An Integrated .. - Embrechts (2000) (5 citations) (Correct)
....in a bank with the nal product he or she can use for monotoring nancial risk on a global scale, we will provide that manager with stochastic methodology needed for the construction of various components of such a global tool . I will not attempt to present EVT in a short summary form; see [6] [13], 9] and the references therein. The key point is that EVT gives the theory for describing extremes (maxima, minima, longest runs, longest time, of random phenomena. In its easiest form, it yields the canonical theory for the (limit) distribution of normalised maxima of independent, ....
McNeil, A.J. (1999) Extreme Value Theory for Risk Managers. RISK Special Volume, to appear. ETH Preprint (www.math.ethz.ch/mcneil/pub list.html). 11
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