Multivariate Extreme Value Methods in Finance

Mary Woodcock Kroble
Sunday 9 November 2008
Date: 25 February 2009
Time: 4:00 pm - 5:00 pm

Speaker: Jonathan Tawn (Lancaster University)


Portfolio selection and hedging problems in finance require the quantification of the risk arising from extreme events involving a collection of variables. I will describe statistical methods which aim to combine financial structure, empirical findings and asymptotically motivated semi-parametric extreme value models. The methods will be applied to closing price stock market data from different countries.

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