Contents 4.1 About the title...................................................... 169 4.2 On the history of financial
risk management........................... 170 4.3 Basel I and II....................................................... 171 …

We consider a problem from stock market modeling, precisely, choice of adequate
distribution of modeling extremal behavior of stock market data. Generalized extreme value …

Over the last three decades, the world economy has been facing stock market crashes,
currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics …

In this study, using a widely available market liquidity measure, the “turnover ratio”, the
authors test for market liquidity contagion during the four financial crises that occurred …

We use extreme value theory and copula theory to model multivariate daily return
distributions of hedge fund strategy indexes. Multivariate outliers in time series of hedge …

The study of tail events has become a central preoccupation for academics, investors and
policy makers, given the recent financial turmoil. However, the question on what …

Most investors believe that left tails of the stock returns distribution are heavier than the right
ones. It is a natural consequence of crashes perception as much more turbulent than the …

2.1 Introduction A financial market crisis is an unstable or a lasting disturbance in capital
markets. Such disturbances can take many forms, eg a banking system collapse, an external …

WYDAWNICTWO UNIWERSYTETU EKONOMICZNEGO W POZNANIU ul. Powstańców
Wielkopolskich 16, 61-895 Poznań tel. 61 854 31 54, 61 854 31 55, faks 61 854 31 59 www …

The main objective of the monograph is to measure extreme risk taken by investors on the
futures market in Poland. It is a both theoretical and empirical work with emphasis on …