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Extreme returns are important
Author(s)
Date Issued
2004
Date Available
2009-11-25T15:25:54Z
Abstract
Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme value theory in providing accurate tail risk measures.
Type of Material
Journal Article
Publisher
Henry Stewart Publications
Journal
Derivatives Use, Trading & Regulation
Volume
10
Issue
2
Start Page
101
End Page
104
Copyright (Published Version)
Henry Stewart Publications
Subject – LCSH
Risk assessment
Extreme value theory
Derivative securities
Language
English
Status of Item
Peer reviewed
ISSN
1357-0927
This item is made available under a Creative Commons License
File(s)
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Name
cotterj_article_pre_016.pdf
Size
160.35 KB
Format
Adobe PDF
Checksum (MD5)
308c9fb05ced19d2a021f37ff7c97488
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