A single number can't hedge against economic catastrophes

Ambio

Volumn 28, Issue 6, 1999, Pages 550-555

  Rootzén, Holger ^a   Klüppelberg, Claudia ^b  

^a CHALMERS UNIVERSITY OF TECHNOLOGY   (Sweden)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 19244385062     PISSN: 00447447     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (20)

1. Coy, P. and Wooley, S. 1998. Failed wizards of Wall Street. Business Week, Sept. 21, 1998, 54-59.
2. Coy, P. 1998. How the game was played - and why long-term lost. Business Week. Oct. 12, 1998, 40-41.
3. Anon. 1998. The rescue of long-term capital management raises disturbing questions about the health of America's and the world's leading banks. The Economist, Oct. 3, 1998, 93-97.
4. Wardle, I. 1998. LTCM, a hedge fund above suspicion. Le Monde diplomatique. English internet edition, November 1998.
5. Kindleberger, C.P. 1996. Manias, Panics and Crashes. A History of Financial Crises, 3rd Ed. Wiley, New York.
6. Chung, K.L. 1974. A Course in Probability Theory. 2nd Ed. Springer, Berlin.
7. Basle Committee on Banking Supervision. 1995. The Supervisory Treatment of Market Risks. Bank for International Settlements. Basle, Switzerland.
8. Basle Committee on Banking Supervision. 1996. Amendment to the Capital Accord to Incorporate Market Risks. Bank for International Settlements. Basle, Switzerland.
9. Overbeck, L. and Stahl, G. 1999. Backtesting. In: Handbuch des Risikomanagements. Rudolph, B. (ed.). Uhlenbruch Verlag. (In print).
10. Leadbetter, M.R., Lindgren, G. and Rootzén, H. 1983. Extremes and Related Properties of Random Sequences and Processes. Springer, Berlin.
11. Embrechts, P., Klüppelberg, C. and Mikosch, T. 1997. Modelling Extremal Events for Insurance and Finance. Springer, Berlin.
12. Markowitz, H. 1959. Portfolio Selection - Efficient Diversification of Investments. Wiley, New York.
13. Fishburn, P.C. 1977. Mean-risk analysis with risk associated with below-target returns. Am. Econ. Rev. 67, 116-126.
14. Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. 1999. Coherent measures of risk. Preprint. Math. Finance 9, 203-228.
15. Bernstein, L.P. 1996. Against the Gods. Wiley, New York.
16. Rootzén, H. and Tajvidi, N. 1997. Extreme value statistics and wind storm losses: a case study. Scand. Actuarial J. 1, 70-94.
17. Emmer, S., Klüppelberg, C. and Trüstedt, M. 1998. VaR - ein Mass für das extreme Risiko. Solutions 2, 53-63. English version available at http://www.ma.tum.de/stat/Papers/papers.html
18. Stahl, G. 1997. Three cheers. Risk, May 1997, 67-69.
19. Danielsson, J. Hartmann, P. and de Vries, C. 1998. The cost of conservatism. Risk, Jan. 1998, 101-103.
20. Høyland, A. and Rausand, M. 1994. System Reliability Theory: Models and Statistical Methods. Wiley, New York.