Value-at-risk and extreme value distributions for financial returns

The ability of the Generalised Extreme Value (GEV) and Generalised Logistic (GL) distributions to fit extreme financial returns in the stock, commodities and bond markets is assessed. The empirical results indicate that the too much celebrated GEV is not the most appropriate model for the data since the fatter tailed GL is found to provide better descriptions of the extreme returns. Extreme Value Theory (EVT) based VaR estimates are then derived and compared to those generated by traditional methods. The results show that when the focus is on the really ruinous events which are located deep into the tails of the returns distribution, the EVT methods used in this study can be particularly useful since they produce VaR estimates that outperform those derived by the traditional methods at high confidence levels. However, these estimates were found to be considerably higher than those derived by traditional VaR models; consequently leading to higher capital reserves for financial institutions

An application of extreme value theory in modelling extreme share returns

Extreme value theory (EVT) methods are used to investigate the asymptotic distribution/s of the extreme minima and maxima of the Athens Stock Exchange daily returns over the period 1976–2001. Innovative aspects of this study include: (1) the generalized extreme value and generalized logistic distributions are considered, (2) Lmomentsratio diagrams are used to identify the distribution/s most likely to fit the extreme daily returns adequately, (3) the probability weighted moments method is used to estimate the parameters of the distribution/s, and (4) the Anderson–Darling goodness of fit test is employed to test the adequacy of fit. The generalized logistic distribution is found to provide adequate descriptions of the behavior of both the extreme minima and maxima over the period studied; however, the asymptotic distributions of extremes appear to become less fat tailed over time implying that the probability of a large daily return occurring is decreasing

Is default risk priced equally fast in the credit default swap and the stock markets?:An empirical investigation

We examine whether default risk is priced equally fast in the credit default swap (CDS) and the stock markets in the main economic sectors of North America, Europe, the UK, and Asia. We find significant evidence in all of these regions and economic sectors that the stock market leads the price discovery process because it reflects default risk faster than the CDS market. We also find weak evidence that the documented lead-lag relation is not regime-dependent and that is stronger for negative stock market news. Our findings do not confirm the theoretical prediction that the CDS market responds faster than the stock market to changing credit conditions. Consistent with the market selection theories, our findings imply that informed traders prefer to trade default risk mostly in the stock market but uninformed traders mostly in the CDS market

The rare event risk in African emerging stock markets

Purpose – The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996‐2007 and examine the implications for downside risk measurement. Design/methodology/approach – Extreme value theory methods are used to model adequately the extreme minimum daily returns in a number of African emerging stock markets. Findings – The empirical results indicate that the generalised logistic distribution best fitted the empirical data over the period of study. Practical implications – Using the generalised extreme value and normal distributions for risk assessment could lead to an underestimation of the likelihood of extreme share price declines which could potentially lead to inadequate protection against catastrophic losses. Originality/value – To the best of the author's knowledge, this is the first study to examine the lower tail distribution of daily returns for African emerging stock markets

Dual-energy electromagnetic modeling, with application to variable reluctance motor analysis

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1995.Includes bibliographical references (leaves 147-153).by Mary Tolikas.Ph.D

Aspects of Rational Structural Design of SWATH Ships

The aim of the work described herein is to provide the background, underlying assumptions and considerations, as well as describe the tools necessary for the development of reliability-based strength criteria for the design of the structural components of fast, multi-hulled ships (Chapters 1-4) in general, and SWATH ships in particular. An overall view of the current state and future prospects of the fast marine transportation market, highlighting the limitations and advantages of the application of such advanced marine concepts is provided in Chapter 1. The challenges, both strategic and technological, that would have to be overcome before these concepts enjoy a more widespread acceptance from the passengers, operators, and governments, are identified and form the background within which the work described herein develops. It has been inevitable that a large number of topics had to be covered in order to provide the reader with the overall picture of the structural design problems expected and their solutions in this novel form of transportation. As a result, no claim for completeness is made herein, but instead an 'in width' study of the topic was felt as most appropriate for establishing the degree of interrelation and interaction of the various aspects of structural design, and has therefore been actively pursued. The problem of estimation of both primary and secondary loads on SWATH ships is tackled in Chapter 2, by reviewing the options and methods available to the designer. Of the secondary loads, the question of slamming load prediction on the underdeck of SWATH ships has been given some attention, via two sets of drop tests (one by the author) carried out at the Department of Naval Architecture and Ocean Engineering, University of Glasgow and the main results described herein. Current approaches for the determination of fatigue damage loading are also described. Chapter 3 concentrates on the strength modelling aspects and the associated uncertainty as applicable to the fatigue design of both monohull and multi-hull vessels. A brief description of the sources of fatigue strength reduction in welded structures and the possible repair measures, the background to the major steel and aluminium fatigue design codes is presented, coupled with a comparison of the major aluminium fatigue design codes. The probabilistic derivation of partial safety factors for fatigue strength expressions is also presented but not demonstrated. In Chapter 4, the work has concentrated mainly in the area of strength modelling for the various structural components of the SWATH ship under all possible load combinations they might be expected to withstand. Although it stops just short of deriving appropriate partial safety factors for the various structural components and failure modes in a multi-hull structure, detailed guidance on how to do so is provided. The reliability-based design procedure to the structural optimisation, with respect to cost, weight and safety, of an example SWATH ship, the M.V. Patria is applied and described instead in Chapter 5. The conclusions of the research, recommendations on the most appropriate strength formulations and the areas which may benefit from further research are all finally identified in Chapter 6. Note: Description of the various parameters used in individual Chapters is adequately covered in the Notation Section, unless otherwise presented in the text

capturing extremes

The ability of the Generalised Extreme Value and Generalised Logistic distributions to describe adequately extreme financial returns is examined. The empirical results strongly reject the Generalised Extreme Value in favour of the fatter tailed Generalised Logistic. This implies that risk measurements which are based on the Generalised Extreme Value may underestimate risk since it assigns lower probabilities to the really ruinous events located deep into the tails of the returns distribution

The relative informational efficiency of corporate retail bonds: Evidence from the London Stock Exchange

I examine the relative informational efficiency of the London Stock Exchange's newly launched Order book for Retail Bonds (ORB). I find that the daily returns for the stocks of the issuing firms lead the daily returns of the retail bonds born in the ORB. This finding also holds for pre-existing bonds that were transferred to the ORB from the LSE's Main Market and for the bonds with different credit ratings, issue sizes, and maturity times. I also find that bonds have very limited predictive ability for stock returns. Overall, the results provide strong evidence that the underlying stock market is relatively more efficient than the ORB. Further, the relative informational inefficiency of the ORB implies profitable trading opportunities for private investors

Perceptions of students with autism regarding higher education support services

There is an increase in the number of students with autism accessing higher education (HE). There is also emerging literature about good practice for supporting these students in the HE context. However, there is still very little information concerning which specific services students with autism want. This study addresses this gap by gathering the views regarding the support services of the students in one HE setting. Fifteen students participated in this study and completed a questionnaire to share their views. One of the most significant findings was that while students use only the services which they need, they appreciated having the option to access a variety of services when needed. According to the students, the most helpful services are considered to be the following:- personal mentoring, transitional services, mental health services and the support to complete their application for Disabled Students' Allowances (DSAs.. Students identified disadvantages which included lack of communication among services as well as the limited staff awareness of autism. This is a small-scale study, but the evidence which emerges from it indicates the need for further research in the field