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21 – 29 of 29The purpose of this paper is to give a review of the standard approaches to extreme value theory. Special focus on the tail of the distribution is underlined, in particular…
Abstract
Purpose
The purpose of this paper is to give a review of the standard approaches to extreme value theory. Special focus on the tail of the distribution is underlined, in particular concerning the fat‐tails phenomenon typical of financial returns. The core of the work is then represented by a survey of models which try to overtake some problems in determining the right shaping of extreme financial returns distribution.
Design/methodology/approach
The paper attempts to give a broad view of the theory about the Tail of distribution of financial market returns, with a special focus on bond returns. The aim of the core work is to find and explore via data, the best solution in order to give a right estimate of the higher moments of the distribution and of the Tail index associated with particular tail shape.
Findings
The EVT approach to VaR has certain advantages over traditional parametric and non‐parametric approaches to VaR. Parametric approaches estimate VaR by fitting some distribution to a set of observed returns while non‐parametric estimate VaR by reading off the VaR from an appropriate histogram of returns. Results show how EVT allows to overtake the problems of underestimation of risk typical of standard VaR measures. In particular the paper compares with historical simulation. The difference is quite evident showing a consistent improvement of the risk measurement performance.
Originality/value
It is necessary to underline how the result in the paper relies on very specific assumptions and dataset feature. Back to drawbacks of EVT, it is very important then to remind how the dataset is usually and necessarily limited to sporadic extreme events. Moreover, there is no mathematical safety of claiming robust result in the absence of normality.
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Keywords
The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk.
Abstract
Purpose
The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk.
Design/methodology/approach
The default event is modeled using the Cox process when the stochastic intensity represents the credit spread. A method of one‐sided risk approach is used in that default is modeled through a random intensity of the default time.
Findings
The paper proposes a modified Cox model for defaultable interest rate term structure when the forward rate volatilities functions depend on time to maturity, on the instantaneous defaultable spot rate and on the entire forward curve. The Cox process describes the default event and its intensity denotes the credit spread.
Research limitations/implications
A method of one‐sided risk approach sacrifices some generality. Recursive models are better to reach the latter.
Practical implications
The main feature of the framework is that it reduces the technical issues of modeling credit risk to the same issues faced when modeling the ordinary term structure of interest rates. Results show a clear maturity‐dependent path.
Originality/value
A main application of this model is pricing of claims in which the credit rating of the defaultable party enters explicitly. An implementation is given in a simple one factor model in which the affine structure gives closed form solutions.
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The purpose of this paper is to analyse a standard grand canonical minority game (MG).
Abstract
Purpose
The purpose of this paper is to analyse a standard grand canonical minority game (MG).
Design/methodology/approach
Agents are divided into two groups: speculators, who trade adaptively, and producers who trade deterministically. Information acts on the amount of the two types in the system, modifying the share.
Findings
When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. If speculators abandon price taking behavior, stylized facts disappear.
Originality/value
The modified MG presented here is able to reproduce qualitatively a whole range of stylized facts. Most importantly, its quite rich behavior can be studied analytically.
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It is not any part of my intention to open the much‐vexed question of the respective merits, or, should I not say, the respective demerits of indicators and of open access, in the…
Abstract
It is not any part of my intention to open the much‐vexed question of the respective merits, or, should I not say, the respective demerits of indicators and of open access, in the lending departments of Public Libraries. Whatever may be our individual views, it must be conceded that there are occasions in which one or other system is dictated by the local circumstances.
ANOTHER Annual Meeting has come and gone. It was scarcely to be expected that the meeting at Bradford would be a record in the number of members attending, seeing that it is only…
Abstract
ANOTHER Annual Meeting has come and gone. It was scarcely to be expected that the meeting at Bradford would be a record in the number of members attending, seeing that it is only three years ago since the Association met in the neighbouring city of Leeds, and that Bradford cannot boast either the historical associations or the architectural and scenic setting of many other towns. For the most part therefore the members who did attend, attended because they were interested in the serious rather than the entertainment or excursion side of the gathering, which was so far perhaps to the advantage of the meetings and discussions. Nevertheless, the actual number of those present—about two hundred—was quite satisfactory, and none, we are assured, even if the local functions were the main or an equal element of attraction, could possibly have regretted their visit to the metropolis of the worsted trade. Fortunately the weather was all that could be desired, and under the bright sunshine Bradford looked its best, many members, who expected doubtless to find a grey, depressing city of factories, being pleasingly disappointed with the fine views and width of open and green country quite close at hand.
The purpose of this paper is to discuss the extent to which film locations affect the decision making of tourists and overall attractiveness of film locations as tourist…
Abstract
Purpose
The purpose of this paper is to discuss the extent to which film locations affect the decision making of tourists and overall attractiveness of film locations as tourist destinations.
Design/methodology/approach
The paper explores the relative appeal of fictional and authentic film locations with reference to the literature and film case study examples.
Findings
Arguably, the attractiveness of an actual location shown in a film is greater than a location portrayed by a film, and when tourists do visit film locations in considerable numbers, the impacts are not always beneficial.
Practical implications
The paper uses examples to explore the scope and related impacts of film‐induced tourism.
Originality/value
The paper draws on a wide range of examples to highlight the implications of fictional and authentic locations in films.
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