Nematrian Reference Library
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Set out below are suggested references for the Page you have come from. Alternatively, select category and sub-category to see a table of references, i.e. external material referred to by Nematrian website, relating to your choice (and in some cases hyperlinks to and/or abstracts or summaries of these references)
References and other external resources for: ExtremeEventsRefs
| Author(s) | Title |
| Abarbanel, H.D.I. and Brown, R., Sidorowich, J.J. and Tsimring, L.S. (1993) | The analysis of observed chaotic data in physical systems |
| Abramowitz, M. and Stegun, I. A. (1970) | Handbook of mathematical functions |
| Alexander, G.J. and Baptista, A.M. (2004) | A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model |
| Ang, A. and Bekaert, G. (2002a) | International Asset Allocation with Regime Shifts |
| Ang, A. and Bekaert, G. (2002b) | Regime Switches in Interest Rates |
| Ang, A. and Bekaert, G. (2004) | How Regimes Affect Asset Allocation |
| Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999) | Coherent measures of risk |
| Balkema, A. and de Haan, L. (1974) | Residual Life Time at Great Age |
| Bank of England (2009) | Recovery and Resolution Plans - Remarks by Andrew Bailey |
| Barry, C. B. (1974) | Portfolio Analysis under Uncertain Means, Variances and Covariances |
| BCBS (2008) | Principles for Sound Liquidity Risk Management and Supervision |
| Berger, J. (1978) | Minimax Estimation of a Multivariate Normal Mean under Polynomial Loss |
| Berk, J. and DeMarzo, P. (2007) | Corporate Finance |
| Besar, D., Booth, P., Chan, K.K., Milne, A.K.L. and Pickles, J. (2009) | Systemic Risk in Financial Services |
| Bevan, A. and Winkelmann, K. (1998) | Using the Black-Litterman Global Asset Allocation Model: Three Years of Practical Experience |
| Bewley, T.F. (1986) | Knightian Decision Theory: Part I |
| Bewley, T.F. (1987) | Knightian Decision Theory: Part II: Intertemporal problems |
| Bewley, T.F. (1988) | Knightian Decision Theory and Econometric Inference |
| Billah, M.B., Hyndman, R.J. & Koehler, A.B. (2003) | Empirical information criteria for time series forecasting model selection |
| Black, F. and Litterman, R. (1992) | Global Portfolio Optimization |
| Booth, P.M. and Marcato, G. (2004) | The measurement and modelling of commercial real estate performance |
| Brennan, M.J., Schwartz, E.S. and Lagnado, R. (1997) | Strategic asset allocation |
| Breuer, T. (2009) | If worst comes to worst: Systematic stress tests with discrete and other non-Normal distributions |
| Britten-Jones, M. (1999) | The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights |
| Brown, S. J. (1976) | Optimal Portfolio Choice under Uncertainty: A Bayesian Approach |
| Cagliarini, A. and Heath, A. (2000) | Monetary policy making in the presence of Knightian uncertainty |
| Campbell, S. D. (2006) | A review of backtesting and backtesting procedures |
| Carino, D.R., Kent, T., Myers, D.H., Stacey, C., Watanabe, K. and Ziemba. W.T. (1994) | Russell-Yasuda Kasai model: an asset-liability model for a Japanese insurance company using multi-stage stochastic programming |
| Christoffersen, P. (1998) | Evaluating interval forecasts |
| Christoffersen, P. and Pelletier, D. (2004) | Backtesting value-at-risk: a duration-based approach |
| Clauset, A., Shalizi, C.R., Newman, M.E.J. (2007) | Power-law distributions in empirical data |
| Cochrane, J.H. (1999) | Portfolio Advice for a Multifactor World |
| COSO (2004) | Enterprise Risk Management: Integrated Framework |
| Cotter, J. (2009) | Scaling conditional tail probability and quantile estimators |
| CRMPG-III (2008) | Containing Systemic Risk: The Road to Reform |
| Daul, S., De Giorgi, E., Lindskog, F. and McNeil, A. (2003) | Using the grouped t-copula |
| Davis, M.H.A, Panas, V.G and Zariphopoulou, T. (1993) | European option pricing with transaction costs |
| Deighton, S.P., Dix, R.C., Graham, J.R. and Skinner, J.M.E. (2009) | Governance and Risk Management in United Kingdom Insurance Companies |
| DeMiguel, V., Garlappi, L. and Uppal, R. (2009a) | Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? |
| DeMiguel, V., Garlappi, L. and Uppal, R. (2009b) | A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms |
| Dempster, M.A.H, Mitra, G. and Pflug, G. (2009) (ed) | Quantitative Fund Management |
| Dickenson, J. P. (1979) | The Reliability of Estimation Procedures in Portfolio Analysis |
| Doust, P. and White, R. (2005) | Genetic Algorithms for Portfolio Optimisation |
| Dempster, M.A.H, Mitra, G. and Pflug, G. (2009) (ed) | Quantitative Fund Management |
| Dickenson, J. P. (1979) | The Reliability of Estimation Procedures in Portfolio Analysis |
| Doust, P. and White, R. (2005) | Genetic Algorithms for Portfolio Optimisation |
| Dowd, K. (2006) | Backtesting market risk models in a standard normality framework |
| Edelman, A. and Rao, N.R. (2005) | Random matrix theory |
| Efron, B. and Morris, C. (1976) | Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution |
| Fabozzi, F.J., Focardi, S.M. and Jonas, C. (2008) | Challenges in Quantitative Equity Management |
| Fabozzi, F.J., Focardi, S.M. and Jonas, C. (2009) | Trends in Quantitative Equity Management |
| Fama, E. and French, K. (1992) | The Cross-Section of Expected Stock Returns |
| Financial Times (2009a) | Bank sets off ideas on living wills for lenders |
| Financial Times (2009b) | Brazil clips the wings of banks adept at capital flight |
| Fisher, R.A. and Tippett, L.H.C. (1928) | Limiting Forms of the Frequency Distribution of the Largest and Smallest Member of a Sample |
| Frankfurter, G.M., Phillips, H.E. and Seagle, J.P. (1971) | Portfolio Selection: the Effects of Uncertain Means, Variances and Covariances |
| Frankland, R., Smith, A.D., Wilkins, T., Varnell, E., Holtham, A., Biffis, E., Eshun, S. and Dullaway, D. (2008) | Modelling extreme market events |
| FSA (2008c) | Consultation Paper 08/24: Stress and scenario testing |
| FSA (2009a) | Policy Statement 09/16: Strengthening liquidity standards |
| FSA (2009b) | Discussion Paper 09/4: Turner Review Conference Discussion Paper. A regulatory response to the global banking crisis: systemically important banks and assessing the cumulative impact |
| Giacometti, R., Bertocchi, M., Rachev, S. and Fabozzi, F.J. (2009) | Stable Distributions in the Black-Litterman Approach to Asset Allocation |
| Giamorridis, D. and Ntoula, I. (2007) | A comparison of alternative approaches for determining the downside risk of hedge fund strategies |
| Gibbons, M., Ross, S.A. and Shanken, J. (1989) | A test of the efficiency of a given portfolio |
| Gilboa, I. and Schmeidler, D. (1989) | Maxmin Expected Utility with Non-Unique Prior |
| Gregory, J. and Laurent, J-P. (2004) | In the core of correlation |
| Grinold, R.C. and Kahn, R. (1999) | Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd ed. |
| Herzog, F., Dondi, G., Keel, S., Schumann, L.M. and Geering, H.P. (2009) | Solving ALM Problems via Sequential Stochastic Programming |
| Hill, B.M. (1975) | A simple General Approach to Inference about the Tail of a Distribution |
| Hitchcox, A.N., Klumpes, P. J. M., McGaughey, K. W., Smith, A. D. and Taverner, N. H. (2010) | ERM for Insurance Companies - Adding the Investor’s Point of View |
| Hodges, S.D. and Neuberger, A. (1989) | Optimal replication of contingent claims under transaction costs |
| Hsuku, Y-H. (2009) | Dynamic Consumption and Asset Allocation with Derivative Securities |
| Hull, J.C. and White, A. (1998) | Incorporating volatility up-dating into the historical simulation method for VaR |
| Hurlin, C. and Tokpavi, S. (2006) | Backtesting value-at-risk accuracy: a simple new test |
| Jagannathan, R. and Ma, T. (2003) | Risk reduction in large portfolios: Why imposing the wrong constraints helps |
| Jobson, J.D. and Korkie, B. (1980) | Estimation for Markowitz Efficient Portfolios |
| Johansen, A. and Sornette, D. (1999) | Critical crashes |
| Jorion, P. (1986) | Bayes-Stein Estimation for Portfolio Analysis |
| Jorion, P. (1994) | Mean/Variance Analysis of Currency Overlays |
| Kahn, R. (1999) | Seven Quantitative Insights into Active Management |
| Kazemi, H., Schneeweis, T. and Gupta, R. (2003) | Omega as a Performance Function |
| Kemp, M.H.D. (1997) | Actuaries and derivatives |
| Kemp, M.H.D. (2005) | Risk Management in a Fair Valuation World |
| Kemp, M.H.D. (2007) | 130/30 Funds: Extending the alpha generating potential of long-only equity portfolios |
| Kemp, M.H.D. (2008a) | Efficient implementation of global equity ideas |
| Kemp, M.H.D. (2008b) | Enhancing alpha delivery via global equity extended alpha portfolios |
| Kemp, M.H.D. (2008c) | Efficient Alpha Capture in Socially Responsible Investment Portfolios |
| Kemp, M.H.D. (2008d) | Catering for the Fat-tailed Behaviour of Investment Returns: Improving on Skew, Kurtosis and the Cornish-Fisher Adjustment |
| Kemp, M.H.D. (2009) | Market consistency: Model calibration in imperfect markets |
| Kemp, M.H.D. (2010) | Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails |
| Klein, R.W. and Bawa, V.S. (1976) | The Effect of Estimation Risk on Optimal Portfolio Choice |
| Klibanoff, P., Marinacci, M. and Mukerji, S. (2005) | A smooth model of decision making under ambiguity |
| Klöppel, S., Reda, R. and Schachermayer, W. (2009) | A rotationally invariant technique for rare event simulation |
| Knight, F. H. (1921) | Risk, Uncertainty and Profit |
| Kupiec, P. (1995) | Techniques for verifying the accuracy of risk management models |
| Laloux, L., Cizeau, P., Bouchard, J-P. and Potters, M. (1999) | Random matrix theory |
| Laskar, J. and Gastineau, M. (2009) | Existence of collisional trajectories of Mercury, Mars and Venus with the Earth |
| Ledoit, O. and Wolf, M. (2003a) | Improved estimation of the covariance matrix of stock returns with an application to portfolio selection |
| Ledoit, O. and Wolf, M. (2003b) | Honey, I Shrunk the Sample Covariance Matrix |
| Ledoit, O. and Wolf, M. (2004) | A well-conditioned estimator for large-dimensional covariance matrices |
| Linter, J. (1965) | The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets |
| Lohre, H. (2009) | Modelling Correlation and Volatility Within a Portfolio |
| Longuin, F. (1993) | Booms and crashes: application of extreme value theory to the U.S. stock market |
| Longuin, F. and Solnik, B. (2001) | Extreme Correlation of International Equity Markets |
| Lowenstein, R. (2001) | When Genius Failed: The Rise and Fall of Long-Term Capital Management |
| Malevergne, Y. and Sornette, D. (2002) | Minimising extremes |
| Malhotra, R. (2008) | Extreme Value Theory and Tail Risk Management |
| Malhotra, R. and Ruiz-Mata, J. (2008) | Tail Risk Modelling with Copulas |
| Malz, A. (2001) | Crises and volatility |
| Markowitz, H. (1952) | Portfolio selection |
| Markowitz, H. (1959) | Portfolio Selection: Efficient Diversification of Investments |
| Markowitz, H. (1987) | Mean-Variance Analysis in Portfolio Choice and Capital Markets |
| Merton, R.C. (1969) | Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case |
| Merton, R.C. (1971) | Optimum Consumption and Portfolio Rules in a Continuous-Time Model |
| Merton, R.C. (1980) | On Estimating the Expected Return on the Market |
| Meucci, A. (2005) | Risk and Asset Allocation |
| Meucci, A. (2006) | Beyond Black-Litterman: views on non-normal markets |
| Michaud, R. (1989) | The Markowitz optimization enigma: Is optimized optimal? |
| Michaud, R. (1998) | Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation |
| Minsky, B. and Thapar, R. (2009) | Quantitatively building a portfolio of hedge fund investments |
| Morgan Stanley (2002) | Quantitative Strategies Research Note |
| Mossin, J. (1966) | Equilibrium in a Capital Asset Market |
| Nolan, J.P. (2005) | Modelling financial data with stable distributions |
| Norwood, B., Bailey, J. and Lusk, J. (2004) | Ranking Crop Yields Using Out-of-sample Log Likelihood Functions |
| Palin, J. (2002) | Agent based stock-market models: calibration issues and application |
| Palin, J., Silver, N., Slater, A. and Smith, A.D. (2008) | Complexity economics: Application and Relevance to Actuarial Work |
| Papageorgiou, A. and Traub, J. (1996) | Beating Monte Carlo |
| Papageorgiou, A. and Traub, J. (1996) | Beating Monte Carlo |
| Pena, V. H., de la, Rivera, R. Ruiz-Mata, J. (2006) | Quality control of risk measures: backtesting VAR models |
| Pickands, J. (1975) | Statistical Inference Using Extreme Order Statistics |
| Press, W.H., Teukolsky, S.A., Vetterling, W.T. and Flannery, B.P. (2007) | Numerical Recipes: The Art of Scientific Computing |
| Samuelson, P.A. (1969) | Lifetime Portfolio Selection by Dynamic Stochastic Programming |
| Samuelson, P.A. (1991) | Long-Run Risk Tolerance When Equity Returns are Mean Regressing: Pseudoparadoxes and Vindication of Businessmen’s Risk |
| Sayed, A.H. (2003) | Fundamentals of Adaptive Filtering |
| Scherer, B. (2002) | Portfolio Resampling: Review and Critique |
| Scherer, B. (2007) | Portfolio Construction and Risk Budgeting |
| Shadwick, W.F. and Keating, C. (2002) | A Universal Performance Measure |
| Sharpe, W.F. (1964) | Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk |
| Shaw, R.A., Smith, A.D and Spivak, G.S. (2010) | Measurement and Modelling of Dependencies in Economic Capital |
| SSSB (2000) | Introduction to Cluster Analysis |
| Stein, C. (1955) | Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution |
| Stone, J.V. (2004) | Independent Component Analysis: A Tutorial Introduction |
| Taleb, N.N. (2004) | Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets |
| Taleb, N.N. (2007) | The Black Swan |
| Thompson, K. and McLeod, A. (2009) | Accelerated ensemble Monte Carlo simulation |
| Treynor, J.L (1962) | Towards a Theory of the Market Value of Risky Assets |
| Varnell, E.M. (2009) | Economic Scenario Generators and Solvency II |
| Wald, A. (1950) | Statistical Decision Functions |
| Weigend, A.S. and Gershenfeld, N.A. (1993) | Time series prediction: forecasting the future and understanding the past |
| Whalley, A.E. and Wilmott, P. (1993) | An asymptotic analysis of the Davis, Panas and Zariphopoulou model for option pricing with transaction costs |
| Wright, S.M. (2003a) | Forecasting with confidence |
| Wright, S.M. (2003b) | Correlation, Causality and Coincidence |
| Zellner, A. and Chetty, V.K. (1965) | Prediction and Decision Problems in Regression Models from the Bayesian Point of View |
| Zumbach, G. (2006) | Backtesting risk methodologies from one day to one year |
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