Tid: 3 april 1998 kl 1315-1500 (Observera dagen och tiden!)
Plats : Seminarierummet 3721 (Obs platsen!), Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Claudia Klüppelberg, Zentrum für Mathematik, Technische Universität München. .(Publikationslista)
Titel: Risk management in finance: an application of extreme value theory
Full abstract - fullständig sammanfattning (postscript)
The Value--at--Risk (VaR) defines the risk of a portfolio as the 5%--quantile of the profit--loss distribution. Two standard estimation methods are the empirical quantile and the normal quantile. Both methods have frequently (and quite correctly) been criticized.
Under the acronym "let the tails speak for themselves", Richard Smith and his collaborators developed methods, which only used such observations for the quantile estimation, which are responsible for extremal behaviour. For the VaR these are the largest negative values. For independent observations this has meanwhile become a standard application of well-known methods. We estimate the VaR with different methods and explain the pros and cons of the outcome.
Most financial data are, however, not iid but show some complex dependence structure. Such data are then modelled by diffusion processes or (G)ARCH models. We describe the extremal behaviour of diffusion models and (G)ARCH-models.
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