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Extreme Values and Financial Risk

Author

Listed:
  • Stephen Chan

    (Department of Mathematics and Statistics, American University of Sharjah, Sharjah P.O. Box 26666, UAE)

  • Saralees Nadarajah

    (School of Mathematics, University of Manchester, Manchester M13 9PL, UK)

Abstract

Since the 2008 financial crisis, modelling of the extreme values of financial risk has become important [...]

Suggested Citation

  • Stephen Chan & Saralees Nadarajah, 2020. "Extreme Values and Financial Risk," JRFM, MDPI, vol. 13(2), pages 1-3, February.
    • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:32-:d:319168
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    References listed on IDEAS

    as
    1. Emrah Altun & Huseyin Tatlidil & Gamze Ozel & Saralees Nadarajah, 2018. "Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?," JRFM, MDPI, vol. 11(1), pages 1-13, January.
    2. Amanda D’Andrea & Ricardo Rocha & Vera Tomazella & Francisco Louzada, 2018. "Negative Binomial Kumaraswamy-G Cure Rate Regression Model," JRFM, MDPI, vol. 11(1), pages 1-14, January.
    3. Carlos A. Dos Santos & Daniele C. T. Granzotto & Vera L. D. Tomazella & Francisco Louzada, 2018. "Hierarchical Transmuted Log-Logistic Model: A Subjective Bayesian Analysis," JRFM, MDPI, vol. 11(1), pages 1-12, March.
    4. Indranil Ghosh, 2017. "Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications," JRFM, MDPI, vol. 10(4), pages 1-13, November.
    5. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
    6. Lev B. Klebanov & Rasool Roozegar, 2018. "Modified Stieltjes Transform and Generalized Convolutions of Probability Distributions," JRFM, MDPI, vol. 11(1), pages 1-6, January.
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    Cited by:

    1. Khalfaoui, Rabeh & Shahzad, Umer & Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2023. "Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 63-80.

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