Skip Navigation


RFS Advance Access originally published online on October 15, 2003
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
17/2/581    most recent
hhg058v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (18)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Poon, S.-H.
Right arrow Articles by Tawn, J.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 2004; 17:581-610
The Review of Financial Studies Vol. 17, No. 2, pp. 581–610 © 2004 The Society for Financial Studies; all rights reserved.

Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Ser-Huang Poon
University of Manchester

Michael Rockinger
University of Lausanne

Jonathan Tawn
Lancaster University

Address correspondence to Ser-Huang Poon, Manchester School of Accounting and Finance, University of Manchester, Oxford Road, Manchester M13 9PL, UK, or e-mail: ser-huang.poon{at}man.ac.uk.

This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis. We show, using returns on five major stock indices, that the use of traditional dependence measures could lead to inaccurate portfolio risk assessment. We explain how the framework proposed here could be exploited in a number of finance applications such as portfolio selection, risk management, Sharpe ratio targeting, hedging, option valuation, and credit risk analysis.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.