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Author
Śmiech Sławomir (Wydział Zarządzania)
Title
Elementy analizy wartości ekstremalnych w analizie scenariuszy i pomiarze asymptotycznej zależności
Elements of Extreme Value Analysis in the Analysis of Scenarios and Measurement of Asymptotic Relationships
Source
Zeszyty Naukowe / Akademia Ekonomiczna w Krakowie, 2004, nr 666, s. 97-109, bibliogr. 8 poz.
Keyword
Analiza wartości, Analiza wielowymiarowa, Szacowanie ryzyka
Value analysis, Multi-dimensional analysis, Risk estimating
Note
summ.
Abstract
W opracowaniu zaprezentowano elementy analizy jedno- i wielowymiarowych wartości ekstremalnych, jakie mogą być zastosowane w zarządzaniu ryzykiem. Teorię zobrazowano przykładem, w którym zmienne opisujące zmiany indeksów giełdowych zostały wykorzystane w analizie scenariuszy.

The increase in variability on financial markets in the last decade of the twentieth century showed that past risk management methods have proved insufficient. Most do not take into account the common occurrence of "fat tails", an asymmetry in the distribution of variables that describe financial instruments by assuming, for example, a description of variables by a single or multi-dimensional normal distribution. Risk assessment methods based on the extreme values theory (EVT) do not have such flaws. The main tenets of this theory do not require the assumption of specific variable distributions and yet still permit the modelling of tails. The article presents selected elements of an analysis of single and multi-dimensional extreme values that can be used in risk management. The theory is illustrated using an example, in which variables describing changes in stock exchange indices are used in scenario analysis. The asymptotic relationship among those variables is also analysed. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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Full text
CUE campus access only
Bibliography
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  1. Best. P. [2000], Wartość narażona na ryzyko, Oficyna Ekonomiczna, Kraków.
  2. Bouye E. [2002], Multivariate Extremes at Work for Portfolio Risk Management, preprint, http://www.gloriamundi.org/var/vvps.html
  3. Coles S.G. [2001], An Introduction to Statistical Modelling of Extreme Values, Springer, London.
  4. Embrechets R, Lindskog E, McNeil A. [2001), Modelling Dependence with Copulas and Applications to Risk Management, report, ETHZ, Zurich, http://www.gloriamundi.org/ var/wps.html
  5. Jajuga K. [1999], Elements of Extreme Value Theory and Some Applications [w:] Klasyfikacja i analiza danych. Teoria i zastosowanie, „Taksonomia" 7, Wrocław.
  6. Romano C. [2002], Applaying Copula Function to Risk Management, Working paper, http://www.gloriamundi.org/var/wps.html
  7. Statystyczne metody oceny ryzyka w działalności gospodarczej [1998], red. A. Zeliaś, Wydawnictwo AE w Krakowie, Kraków.
  8. Yamai Y., Yoshiba T. [2002], Comparative Analyses of Expected Shortfall and Value-at- -Risk under Market Stress, preprint, www.imes.boj.or.jp/english/publication
Cited by
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ISSN
0208-7944
Language
pol
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