Extreme market risk and extreme value theory.
Abhay K. SinghDavid E. AllenPowell J. RobertPublished in: Math. Comput. Simul. (2013)
Keyphrases
- extreme value theory
- black scholes
- financial crisis
- risk evaluation
- decision making
- risk neutral
- risk aversion
- risk management
- extreme events
- option pricing
- investment strategies
- portfolio management
- risk assessment
- market data
- fuzzy numbers
- risk measures
- early warning
- risk averse
- market share
- investment decisions
- high risk
- financial markets
- credit risk
- risk factors
- asset allocation
- information technology
- stock market
- data mining
- listed companies
- utility function
- expected utility
- minimum risk
- foreign exchange
- bidding strategies
- electronic markets
- financial data
- stock exchange