Social and Behavioral Sciences Commons^™

Risk And Dependence Analysis Of Australian Stock Market - The Case Of Extreme Value Theory, Abhay Singh, David E. Allen, Robert J. Powell

Research outputs 2012

The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considering the return series which makes modelling easy but is inefficient if the data is not normally distributed or if it exhibits extreme tails. When dealing with extreme financial events to quantify extreme market risk, Extreme Value Theory (EVT) proves to be a natural statistical modelling technique of interest. Estimation of tail dependence between financial assets plays a vital role in various aspects of financial risk modelling including portfolio theory and hedging amongst applications. Extreme …