Extreme returns are important

File(s)
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Author(s)
Uri
Date Issued
2004
Date Available
25T15:25:54Z November 2009
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
Web versions
Language
English
Status of Item
Peer reviewed
ISSN
1357-0927
This item is made available under a Creative Commons License
Owning collection
Business Research Collection