相关论文: Modelling catastrophic risk in international equit…

In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal risks. By applying extreme value theory, we evaluate the…

Analysis of the rare and extreme values through statistical modeling is an important issue in economical crises, climate forecasting, and risk management of financial portfolios. Extreme value theory provides the probability models needed…

This paper introduces a novel sub-sampling block maxima technique to model and characterize environmental extreme risks. We examine the relationships between block size and block maxima statistics derived from the Gaussian and generalized…

We aim to analyze the behaviour of a finite-time stochastic system, whose model is not available, in the context of more rare and harmful outcomes. Standard estimators are not effective in making predictions about such outcomes due to their…

The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…

Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of…

Assessing climate risk and its potential impacts on our cities and economies is of fundamental importance. Extreme weather events, such as hurricanes, floods, and storm surges can lead to catastrophic damages. We propose a flexible approach…

The extreme value index is a fundamental parameter in univariate Extreme Value Theory (EVT). It captures the tail behavior of a distribution and is central in the extrapolation beyond observed data. Among other semi-parametric methods (such…

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth,…

We propose a novel strategy for multivariate extreme value index estimation. In applications such as finance, volatility and risk present in the components of a multivariate time series are often driven by the same underlying factors, such…

This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these…

Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…

This paper investigates how two important sources of risk -- market tail risk and extreme market volatility risk -- are priced into the cross-section of asset returns across various investment horizons. To identify such risks, we propose a…

Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…

The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…

We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan. Our Implied Volatility Realized Volatility Systemic Risk…

This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and directional predictability between the US stock market and…

Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability.…