Risk Assessment of Extreme Events

Aki-Hiro Sato ()
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Aki-Hiro Sato: Kyoto University, Graduate School of Informatics

Chapter Chapter 5 in Applied Data-Centric Social Sciences, 2014, pp 175-202 from Springer

Abstract: Abstract Risk assessment is one of the crucial issues in management science. Specifically, it is important to infer risks of extreme events, which generate huge damage with small probability. To estimate risk of these extreme events, we need a method to extrapolate tail probabilities. In this chapter, the method to estimate parameters and empirical evidence are introduced through exemplar study of the foreign exchange market.

Keywords: Foreign Exchange Market; Expected Shortfall (ES); Generalized Autoregressive Conditional Heteroskedasticity (GARCH); Complementary Cumulative Distribution; GARCH Processes (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-54974-1_5

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DOI: 10.1007/978-4-431-54974-1_5

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