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Statistics of Multivariate Extremes with Applications in Risk Management

von Dr. Rodrigo Herrera

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Statistik und Sichtungsnachweis dieser Seite findet sich am Artikelende
[1.] Rh/Fragment 001 06 - Diskussion
Zuletzt bearbeitet: 2012-07-30 23:18:57 Hindemith
Chavez-Demoulin Embrechts 2010, Fragment, Gesichtet, KomplettPlagiat, Rh, SMWFragment, Schutzlevel sysop

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Hindemith
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Seite: 1, Zeilen: 6-8
Quelle: Chavez-Demoulin_Embrechts_2010
Seite(n): 2, Zeilen: 2-4
The current subprime crisis, together with its consequences for international markets, shows that a deeper understanding of extreme events in statistical data from economics, insurance and finance is of high priority. The current subprime crisis, together with its consequences for international markets, shows that a deeper understanding of extreme events in statistical data from economics, insurance and finance is of high priority.
Anmerkungen

no source given

Sichter
(Hindemith), KnallErbse

[2.] Rh/Fragment 001 08 - Diskussion
Zuletzt bearbeitet: 2012-08-08 20:41:43 Hindemith
Embrechts 2008, Fragment, Gesichtet, KomplettPlagiat, Rh, SMWFragment, Schutzlevel sysop

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Quelle: Embrechts 2008
Seite(n): 6, Zeilen: 2-9
In a speech in Dublin, Charlie McCreevy, the European Market Commissioner, denounced

"The irresponsible lending, blind investing, bad liquidity management, excessive stretching of rating agency brands and defective value at risk modelling that prompted the turmoil of recent months" (red. subprime credit crisis). Financial Times, Friday, October 26, 2007.

In a speech in Dublin, Charlie McCreevy, the European Market Commissioner, denounced

"the irresponsible lending, blind investing, bad liquidity management, excessive stretching of rating agency brands and defective value-at-risk modelling that prompted the turmoil of recent months" (red. subprime credit crisis). (Financial Times, Friday, October 26, 2007)

Anmerkungen

Keine Quellenangabe.

s. Diskussion.

Sichter
(KnallErbse), Hindemith

[3.] Rh/Fragment 001 18 - Diskussion
Zuletzt bearbeitet: 2012-07-30 23:18:53 Hindemith
Fragment, Gesichtet, Rh, SMWFragment, Schmidt 2003, Schutzlevel sysop, Verschleierung

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Quelle: Schmidt 2003
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Extreme events refer, for example, to extraordinary claims to insurance companies, crashes of equity markets or extreme losses in credit portfolios due to borrower defaults. Hence, extreme events occur rarely, i.e., only few extreme observations are available. Nevertheless, probabilities and dependence structures have to be assigned to extreme events due to their economic impact. Extreme events refer, for example, to extraordinary claims to insurance companies, crashes of equity markets, or extreme losses in credit portfolios due to borrower defaults. Hence, extreme events occur rarely, ergo, only few extreme observations are available; but probabilities and dependence structures have to be assigned to extreme events due to their economic impact.
Anmerkungen

Ohne Quellenangabe

Sichter
KnallErbse

[4.] Rh/Fragment 001 24 - Diskussion
Zuletzt bearbeitet: 2012-07-30 23:18:49 Hindemith
Fragment, Gesichtet, Kole 2006, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Quelle: Kole 2006
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In this dissertation we study a variety of crises and crashes from the perspective of an investor in financial markets. The two key concerns that an investor has regarding crises and crashes are their influence on his risk exposure and their effect on his asset allocation decisions. This thesis analyzes these aspects in several ways. In this dissertation we study crises and crashes from the perspective of an investor in financial markets. The two key concerns that an investor has regarding crises and crashes are their influence on his risk exposure and their effect on his asset allocation decisions. We analyze these questions in several ways.
Anmerkungen

Ohne Quellenangabe

Sichter
KnallErbse

[5.] Rh/Fragment 001 29 - Diskussion
Zuletzt bearbeitet: 2012-08-19 23:35:13 Hindemith
Fragment, Gesichtet, Kole 2006, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Untersuchte Arbeit:
Seite: 1, Zeilen: 27-31
Quelle: Kole 2006
Seite(n): 1, Zeilen: 22-26
A crash is defined as an extreme event in a single asset, a single sector or a single market. We consider a crisis as a period with marked extreme dependence or comovements, which affect many assets in an industry, a single market or several markets worldwide. While a crash refers to a specific event in one asset, industry or market on its own, a crisis refers to a period of turmoil in several assets, industries or markets at the same time. Dependent on the aggregation level, we define a crash as a large price decrease of a single asset, a single sector or a single market. We consider a crisis as a period with high uncertainty that affects many assets in an industry, a single market or several markets worldwide. So while a crash refers to a specific event in one asset, industry or market on its own, a crisis refers to a period of turmoil in several assets, industries or markets at the same time.
Anmerkungen

Ohne Quellenangabe

Sichter
KnallErbse


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