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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10010399734
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Disentangling crashes from tail events.
Aboura, Sofiane - Université Paris-Dauphine
The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...
Persistent link: https://www.econbiz.de/10008690921
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Disentangling crashes from tail events
Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2010
The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash...
Persistent link: https://www.econbiz.de/10011193769
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When the U.S. Stock Market Becomes Extreme?
Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2014
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10011074476
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012
cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …
Persistent link: https://www.econbiz.de/10010907433
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Models with short-term variations and long-term dynamics in risk management of commodity derivatives
Guo, Zi-Yi - 2017 - This version: February 2017
We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...
Persistent link: https://www.econbiz.de/10011721302
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Disentangling Crashes from Tail Events
Aboura, Sofiane - 2015
The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved.This article elaborates a new definition of stock market crash...
Persistent link: https://www.econbiz.de/10013038518
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Managing Tail Risk Part I : Option-Based Hedging
Flint, Emlyn; Chikurunhe, Florence; Masutha, Ndinae - 2021
There is nothing like a market crash to focus the mind on the importance of risk management and, more specifically, tail risk management. Because tail events are generally systemic in nature and are characterised by elevated correlations and liquidity squeezes, effective tail risk management is...
Persistent link: https://www.econbiz.de/10013233679