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Métodos Matemáticos em Finanças

From the Geometry of Extreme Value Distributions to Improved Tail Fitting in Market Data
William F. Shadwick

Omega Analysis
Segunda-feira, 4 de junho de 2018, 17:00
Sala 232

A new geometric invariant explains and unifies the landmark results of Extreme Value Theory. This invariant also provides an intrinsic measure of the rate of convergence of tails of probability distributions to their Extreme Value limits.

Tail models that converge rapidly over quantile ranges that are practical in financial applications are highly efficient.

Some recent applications include ‘flash crashes’, multi-day drawdown risk in bank share prices and in Short VIX positions  and early warning signals of asset price bubbles as well as a measure of their severity.