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Extreme Events – Charts sourced from Nematrian – Chapter 2

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Charts:

 

-          Figure 2.1: Spread between 1 month Eurepo and Euribor interest rates

-          Figure 2.2: Illustrative probability density function plot

-          Figure 2.3: Illustrative probability density function plot as per Figure 2.2, but zooming in on just the part of the lower tail of the distribution between x = -6 and x = -2

-          Figure 2.4: Illustrative cumulative probability distribution plot

-          Figure 2.5: Illustrative quantile-quantile plot

-          Figure 2.6: Illustrative TVAR versus quantile plot

-          Figure 2.7: QQ-plots of monthly returns on various major equity market indices from end June 1994 to end December 2007

-          Figure 2.8: QQ-plots of weekly returns on various major equity market indices from end June 1994 to end December 2007

-          Figure 2.9: QQ-plots of daily returns on various major equity market indices from end June 1994 to end December 2007

-          Figure 2.10: QQ-plots of daily, weekly and monthly returns on FTSE All Share index from end June 1994 to end December 2007

-          Figure 2.11: QQ-plots of daily, weekly and monthly returns on S&P 500 Composite index from end June 1994 to end December 2007

-          Figure 2.12: QQ-plots of daily, weekly and monthly returns on FTSE W Europe Ex UK index from end June 1994 to end December 2007

-          Figure 2.13: QQ-plots of daily, weekly and monthly returns on Tokyo SE (Topix) index from end June 1994 to end December 2007

-          Figure 2.14: QQ-plots of four Monte Carlo simulations of daily return data with samples drawn from a normal distribution

-          Figure 2.15: Envelopes of QQ-plots (at the 0.5% and 99.5% percentiles) of 1,000 Monte Carlo simulations of daily return data with samples drawn from a normal distribution

-          Figure 2.16: Fitting the distributional form for daily returns on FTSE All-Share Index from end Jun 1994 to end Dec 2007

-          Figure 2.17: Probability density function of an example normal distributional mixture

-          Figure 2.18: QQ-plot of an example normal distributional mixture

-          Figure 2.19: Daily returns on FTSE All-Share Index from end Jun 1994 to end Dec 2007, scaled by 50 business day trailing volatility

-          Figure 2.20: Illustration of the perils of extrapolating into the far tail

-          Figure 2.21: QQ-plot of S&P 500 daily price movements from early 1968 to 24 March 2009

-          Figure 2.22: QQ-plots of FTSE All-Share daily price movements from early 1968 to 24 March 2009

 


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