Index

  1.  
  2. A
  3. aggregation
    1. high frequency
    2. sample size
  4. algorithms
    1. bootstrap
  5. alternative Hill plot
  6. alpha-stable distributions
  7. analytical comparison
  8. annual maxima. see block maxima
  9. anti-Leibnizian
  10. anything but Mandelbrot (ABM)
  11. aperiodicity
  12. application-driven approach
  13. applications to finance
  14. approximation
    1. Berry–Esséen bounds
    2. Berry–Esséen inequality
    3. Edgeworth expansion
    4. Hermite polynomial
    5. moments
    6. normal approximation
    7. numerical approximation
    8. Zaliapin method
  15. asset returns
  16. asymptotic independence
  17. asymptotic mean-squared error (AMSE)
  18. AT&T
  19. autoregression
  20. autoregressive conditional heteroscedasticity (ARCH) process
  21.  
  22. B
  23. bank contagion
  24. banking market index
  25. bank loans
  26. bank run
  27. Barndorff–Nielsen
  28. Bessel function
  29. Basel Committee on Banking Supervision
  30. Bernstein polynomials
  31. beta distribution
  32. bivariate extreme value distribution
  33. bivariate normal distribution function
  34. Black Monday
    1. crash
  35. Black–Scholes model
  36. block maxima
  37. blocking techniques
  38. bootstrap methodology
  39. bounded rationality
  40. BP
  41. breakout (fractal) signal
  42. Brownian
  43. Brownian motion
  44. Brownian virus
  45.  
  46. C
  47. CAC
  48. capital-guarantee
  49. central limit theorem
  50. CGMY model
  51. Citigroup
    1. credit default swaps (CDS) spread
  52. classical (IID) CLT and EVT
  53. clearinghouses
    1. London Clearing House (LCH)
  54. CLT and EVT for stationary sequences
    1. Berman's condition
    2. Bernstein block methods
    3. Bernstein blocks, strong mixing
    4. EVT under m-dependence
    5. EVT under strong mixing
    6. Gaussian sequences
    7. general ETT
    8. Rosenblatt's, strong mixing
  55. cluster
  56. collateralized loan obligation (CLO)
  57. communication of risk
  58. complexity
  59. compound Poisson–normal process
  60. compositional data
  61. computer software
  62. conditional value-at-risk (CVaR)
    1. estimator
  63. constant proportion portfolio insurance (CPPI)
    1. cushion
    2. exposure
    3. floor
    4. method
    5. multiple
  64. continuous parameter extremes
    1. ETT for continuous parameter processes
    2. EVT for random fields
    3. exceedances of multiple levels
    4. point processes of, upcrossings
  65. convergence in distribution
  66. convergence in probability
  67. copula
  68. corporation
  69. correlations
    1. in stressed markets
  70. coverage test
    1. conditional
    2. independence
    3. unconditional
  71. Cramer–Lundberg model
  72. credit index
    1. tail behavior
    2. tail dependence with equities
  73. credit spreads
    1. data quality
    2. financials (tail dependence)
    3. industrials (tail dependence)
    4. multivariate analysis
    5. tail index independent of initial spread
    6. term structure (inverted in distress)
    7. volatility proportional to initial spread
  74. cybernetic
    1. autoadaptivity
    2. feed-back
    3. homeostasis
    4. self learning
  75.  
  76. D
  77. data
    1. financial assets
    2. insurance data
    3. log returns
    4. market risk data
    5. Meuse river data
    6. SOA insurance data
    7. software R
    8. S&P 500 data
  78. data-smoothing
  79. Datastream
  80. default correlation
  81. degeneration
  82. dependence
  83. deterministic binary approach
  84. distribution
    1. comparison of distributions
    2. conditional distribution
    3. cumulative distribution function
    4. empirical distribution function
    5. exponential
    6. extended Pareto
    7. extreme value
    8. fat-tailed
    9. Fréchet
    10. Gaussian
    11. generalized extreme value (GEV) distribution
    12. generalized hyperbolic distributions
    13. generalized Pareto distribution (GPD)
    14. Gnedenko
    15. Gumbel
    16. heavy-tailed
    17. kurtosis
    18. light-tailed
    19. loss distribution
    20. mixture of Gaussian
    21. normal
    22. Pareto
    23. semi-heavy-tailed
    24. stable
    25. Student-
    26. tail distribution
    27. thin-tailed
    28. truncated Pareto
    29. unconditional
    30. Weibull
  85. diversification
  86. Dodd–Frank Act
  87. durations between excesses over high thresholds (DPOT)
  88. duration-times-spread (DTS)
  89. dynamic measure of risk
  90.  
  91. E
  92. early warning indicator
  93. earnings growth (EPS)
  94. economic value added (EVA)
  95. econophysics program (EP)
  96. electricity
    1. EEX
    2. electricity
    3. mean-reversion
    4. PJM
    5. power market
    6. PWX
    7. seasonality
  97. electricity markets
  98. Elliott wave
    1. vertexes
  99. empirical likelihood
  100. endpoint
    1. estimation
  101. Enron
  102. estimation
    1. distribution
    2. (extreme) quantile
  103. estimation method
    1. Bayesian
    2. jackknife
    3. maximum likelihood
    4. method of moments
    5. reduced-bias
  104. Euclidean likelihood
  105. exceedance probability
  106. exceedances of levels, kth largest values
  107. expected shortfall
  108. expected utility
  109. expert systems
  110. exponential families for heavy-tailed data
  111. extremal index
  112. extremal limit
    1. for kth largest order statistic
    2. for maxima
    3. for minima
  113. extreme
  114. extreme quantiles
  115. extreme value
    1. analysis
    2. distribution
    3. index
    4. puzzle
    5. theorem
  116. extreme value index (EVI)
    1. estimation
  117. extreme value theory (EVT)
    1. application
    2. approach
    3. copula
    4. cumulative distribution function (CDF)
    5. determining tail observations
    6. early history of EVT
    7. first-order conditions
    8. Fisher–Tippett theorem
    9. GEV
    10. GPD
    11. history
    12. intermediate order statistics
    13. log-excesses
    14. maximum domains of attraction
    15. order statistics
    16. parameter estimates
    17. PDF
    18. Pickands theorem
    19. plots
    20. second and higher-order conditions
  118.  
  119. F
  120. families of tilted measures
  121. Fannie Mae
    1. conservatorship
  122. Fast MCD algorithm
  123. Financial Crisis Inquiry Commission
  124. financial innovation
    1. derivatives
    2. subordinated debt
  125. financial institutions
  126. financial returns
  127. Fisher–Tippett
  128. forecasting
  129. Fourier
  130. fractal (breakout) signal
  131. Fréchet distribution
  132. Freddie Mac
    1. conservatorship
  133. function
    1. slowly varying
  134. fundamental analysis (FA)
  135. futures
    1. LIFFE
  136.  
  137. G
  138. Gaussian distribution
  139. generalized autoregressive conditional heteroskedasticity (GARCH)
  140. generalized hyperbolic distributions
  141. generalized Jenkinson–von Mises distribution
  142. generalized extreme distribution
  143. generalized extreme value distribution (GEV)
  144. generalized hyperbolic (GH) distribution
  145. generalized Pareto distribution
  146. global financial crisis (2008)
  147. great recession
  148. Gumbel distribution
  149.  
  150. H
  151. heavy-tailed
    1. data
    2. distribution
    3. stable distributions
    4. Lévy measure
  152. heuristics
  153. high quantile estimation
  154. high yield tail index
  155. Hill estimator
    1. asymptotic normal distribution
    2. bias reduction
    3. multivariate
  156. historical simulation
  157. human error
    1. assurance quality
  158. hyperbolic distribution
  159.  
  160. I
  161. independent and identically distributed (IID)
  162. informational asymetry
  163. internal audit
  164. irreducibility
  165.  
  166. J
  167. Jenkinson–von Mises distribution
  168. Journal Extremes
  169. jump-diffusion models
  170.  
  171. K
  172. known knowns
  173. known unknowns
  174. kurtosis distribution
  175.  
  176. L
  177. Laplace
  178. large and complex banking organizations (LCBOs)
  179. Ledford and Tawn approach
  180. Lehman Brothers
    1. failure
  181. Leibnizian
  182. Lévy–Khintchine formula
  183. Lévy processes
    1. alpha-stable distributions
    2. characteristic function
    3. CGMY and VG distributions
    4. econophysics
    5. generalized hyperbolic distributions
    6. infinitely divisible distributions
    7. laws of maxima
    8. MDA of the Gumbel law
    9. normal distribution
    10. Poisson processes
    11. power of power laws
  184. Lévy measure
  185. limit theorems for sums
    1. central limit theorem (CLT)
    2. conditional limit theorem
    3. generalized central limit theorem (GCLT)
    4. max method
    5. mixed limit theorems
    6. mixed normal extreme limit
    7. Normex
    8. trimmed sums
    9. weighted normal limit
  186. liquidity
    1. for credit portfolios
    2. market price
    3. rule-of-thumb scaling factors
    4. stress
    5. and systemic shocks
  187. local extrema
  188. log-return
  189. long-short credit portfolios
  190.  
  191. M
  192. Mandelbrot program
    1. ARCH models
    2. continually discontinuous
    3. discontinuity and scaling
    4. fractal description of markets
    5. leptokurtic phenomenon
    6. price behavior
  193. margin requirements
  194. margin setting
    1. initial margin
    2. margin call
    3. margin level
    4. SPAN system
    5. variation margin
  195. marginal expected shortfall (MES)
  196. market-based indicators
  197. market conditions matrix
  198. market crash
    1. magnitude
  199. market efficiency
  200. markets
  201. Markov chains
  202. maturity transformation
  203. max-domain of attraction
    1. condition
    2. Fréchet
    3. Gumbel
    4. multivariate
    5. Weibull
  204. maximum domain of attraction (MDA)
  205. maximum existing moment
  206. mean excess
    1. function
    2. plot
  207. mean excess function
  208. measure-dependent measure
  209. measures of risk
    1. beta
    2. CVaR
    3. dynamic
    4. extreme systematic risk
    5. m+
    6. mTA
    7. properties
    8. spikes
    9. VaR
  210. methods
    1. Max method
    2. Normex
    3. QQ plot
    4. supervised vs. unsupervised methods
    5. weighted normal limit
    6. Zaliapin method
  211. minimum/maximum approach
  212. minimum-variance reduced-bias
  213. mixture of Gaussian
  214. modern portfolio theory
    1. asset allocation
    2. CAPM
    3. diversified portfolio
    4. downside risk
    5. portoflio weights
    6. safety first
  215. modified Bessel functions
  216. moments
  217. moments estimator
  218. money market funds
    1. dynamic money market funds
  219. Monte Carlo simulation
  220. moral hazard
  221. Morgenstern distribution
  222. moving average (MA)
  223. moving average convergence divergence (MACD)
    1. divergence signal
  224. multivariate extremes
    1. dimension reduction
    2. spatial
    3. spectral density ratios
  225. multivariate Hill estimator
  226.  
  227. N
  228. Natura non facit saltus
  229. negative/positive approach
  230. non-Gaussian Merton–Black–Scholes theory
  231. nonparametric estimation methods
    1. bootstrap
    2. filtered historical
    3. historical
    4. importance sampling
    5. Kernel
  232. nonparametric market conditions
  233. nonstationary bivariate extremes
  234. normal inverse Gaussian (NIG) distribution
  235. normality
  236. numerical study
  237.  
  238. O
  239. objective Bayes
  240. open-high-low-close (OHLC) prices
  241. operational risk
    1. advanced measurement approach (AMA)
    2. basic indicator approach (BIA)
    3. data collection exercise
    4. industry definition of operational risk
    5. standardized approach (STA)
  242. option-based portfolio insurance (OBPI)
  243. order statistics
    1. conditional distribution of order statistics
    2. distribution of order statistics
    3. moments of order statistics
    4. Pareto order statistics
  244. ordinary least-squares (OLS)
  245. outer correlations
  246.  
  247. P
  248. parametric esimtation methods
    1. ARCH
    2. ARMA–GARCH
    3. asymmetric Laplace
    4. asymmetric power
    5. Bayesian
    6. Brownian motion
    7. capital asset pricing
    8. copula
    9. Cornish–Fisher
    10. Dagum
    11. delta-gamma
    12. discrete
    13. elliptical
    14. Fourier transform
    15. GARCH
    16. Gaussian mixture
    17. generalized hyperbolic
    18. Gram–Charlier
    19. Johnson family
    20. location-scale
    21. log folded t
    22. Pareto-positive stable
    23. principal components
    24. quadratic forms
    25. quantile regression
    26. RiskMetrics
    27. Student's
    28. Tukey
    29. variance-covariance
    30. Weibull
  249. Paretian distribution
  250. Pareto
  251. peaks-over-random-threshold (PORT)
  252. peaks-over-threshold (POT)
  253. performance ratios
    1. lower partial moment (LPM)
    2. Sharpe ratio
    3. Sortino ratio
  254. Petrobras
  255. Pickands estimator
    1. dependence function
    2. estimator
    3. theorem
  256. point processes of level exceedances
    1. compound Poisson limits
    2. Exceedance clusters
  257. portfolio insurance
  258. portfolio theory
  259. pragmatic program (PP)
  260. price patterns
  261. probability estimator
  262. procedure of choosing the tuning parameter
  263. process of ARCH
  264. properties of VaR
    1. inequalities
    2. multivariate
    3. ordering
    4. risk concentration
    5. upper comonotonicity
  265. proportional tails model
  266. Pseudo-regeneration
    1. Nummelin splitting trick
    2. times
  267.  
  268. Q
  269. QQ-plot
    1. generalized Pareto
    2. Pareto
  270. quantile
  271.  
  272. R
  273. radical program (RP)
  274. rank correlation
    1. pre-crisis vs. crisis
    2. Spearman
    3. tail risk and tail-β
    4. cross-industry comparison
  275. rate of convergence
  276. rate of return
  277. ratio estimator of the tail index (RE)
  278. rationality
    1. bounded
    2. expectations
    3. pure and perfect
  279. real estate investment trusts (REITs)
    1. correlation with S&P
    2. GARCH
    3. statistical description
    4. Tax Reform Act
  280. reflexive effects
  281. regeneration
    1. based estimators
    2. cycle submaxima
    3. hitting times
    4. minorization condition
    5. properties
    6. small set
  282. regular variation
  283. regulation
    1. machine
    2. mechanization
    3. prudential standards
    4. robotization
    5. standardization
  284. relative strength index (RSI)
  285. resampling methods
  286. return period
  287. returns
  288. risk
    1. aggreagation
    2. credit risk
    3. default risk
    4. mild randomness
    5. extreme systematic
    6. wild randomness
  289. risk management
    1. stress scenarios
    2. value at risk
  290. risk measures
    1. alternative
    2. coherence
    3. estimation
    4. expected shortfall
    5. financial crisis
    6. quantile
    7. solvency
    8. subadditivity (& asymptotic subadditivity)
    9. tail-value-at-risk
    10. traditional
    11. value-at-risk
    12. variance
  291. tail risk
    1. tail cut-off point
    2. Hill statistic
  292. robotization
  293. robustness
  294. routines
  295. Ruin theory
  296.  
  297. S
  298. sample fraction estimation
  299. Sato classification
    1. activity and variation of
    2. Lévy processes
    3. light of
    4. scale of fluctuations
  300. scaling law
  301. scedasis function
  302. second-order parameters' estimation
  303. semi-heavy-tailed Lévy processes
    1. generalized hyperbolic distributions
    2. tempered stable distributions
    3. VG and CGMY models
  304. semiparametric estimation methods
    1. extreme value
    2. generalized Champernowne
    3. generalized Pareto
    4. M-estimation
  305. short term and long term
  306. Sortino ratio
  307. smirk phenomenon
  308. spectral density ratio model
  309. spectral measures
    1. family
    2. predictor-dependent
    3. smoothed
  310. spectral surface
    1. definition
    2. estimation
  311. S&P 500 index
    1. choice of distribution
    2. correlation with REITs
    3. data
    4. GARCH
    5. statistical description
    6. tail index estimate
  312. square-root-of-time rule
  313. standard deviation
  314. stock index futures
  315. stock market waves
  316. stress scenarios
  317. synthetic assets (ETF, ETN)
  318. systemic risk indicator
    1. bivariate parametric distribution function
    2. Hill plots
  319. systemic shocks
    1. and tail dependence of credit spreads
  320.  
  321. T
  322. tail dependence function
    1. of credit spreads
  323. tail estimator
  324. tail independence
  325. tail index
    1. in credit markets
    2. risk indicator/tail-β
  326. tail index estimator
    1. adaptive
    2. asymptotic behaviour of
    3. Dekkers and De Haan
    4. empirical method on high frequency financial data
    5. extreme value index
    6. generalized quantiles
    7. Hill estimator
    8. Kernel
    9. mean square error (MSE)
    10. minimum-variance reduced-bias (MVRB)
    11. mixed moment
    12. non-parametric method
    13. parametric method
    14. peaks over random threshold (PORT)
    15. Pickands
    16. QQ estimator
  327. tail probability
  328. tempered stable models
  329. Texaco
  330. theory
    1. organizational theory
    2. political philosophy
    3. self-realizing prophecy
    4. speculation of
  331. threshold
    1. adaptive selection
  332. time
  333. trimmed sum
  334.  
  335. U
  336. unexpected events
  337. unforseen correlation
  338. unknown knowns
  339. unknown unknowns
  340.  
  341. V
  342. value at risk (VaR)
    1. applications
    2. definition
    3. history
    4. out-of-sample
    5. quantile
    6. significance level (a)
    7. time horizon (t)
    8. violation ratio
  343. value discrepancies
  344. variance gamma (VG) model
  345. volatility smile
  346. volatility (VIX, VXD, VXN)
  347. Volkswagen
  348.  
  349. W
  350. waiting time
  351. weak (distributional) mixing for EVT, D(un)
    1. associated independent sequence
    2. ETT under D(un)
    3. extremal index
  352. Weibull
  1. distribution
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