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Full-Text Articles in Management Sciences and Quantitative Methods
Statistical Methods On Risk Management Of Extreme Events, Zijing Zhang
Statistical Methods On Risk Management Of Extreme Events, Zijing Zhang
Doctoral Dissertations
The goal of the dissertation is the investigation of financial risk analysis methodologies, using the schemes for extreme value modeling as well as techniques from copula modeling. Extreme value theory is concerned with probabilistic and statistical questions re- lated to unusual behavior or rare events. The subject has a rich mathematical theory and also a long tradition of applications in a variety of areas. We are interested in its application in risk management, with a focus on estimating and forcasting the Value-at-Risk of financial time series data. Extremal data are inherently scarce, thus making inference challenging. In order to obtain …
Generating A Random Collection Of Discrete Joint Probability Distributions Subject To Partial Information, Luis V. Montiel, J. Eric Bickel
Generating A Random Collection Of Discrete Joint Probability Distributions Subject To Partial Information, Luis V. Montiel, J. Eric Bickel
Eric Bickel
In this paper, we develop a practical and flexible methodology for generating a random collection of discrete joint probability distributions, subject to a specified information set, which can be expressed as a set of linear constraints (e.g., marginal assessments, moments, or pairwise correlations). Our approach begins with the construction of a polytope using this set of linear constraints. This polytope defines the set of all joint distributions that match the given information; we refer to this set as the “truth set.”We then implement aMonte Carlo procedure, the Hit-and- Run algorithm, to sample points uniformly from the truth set. Each sampled …