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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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