Occurrence of exceedances in a finite perpetuity
<p>Generated by stochastic recursions, perpetuities encompass a vast range of discretetime financial behaviours. When focusing on the dramatic changes occurring in such processes, the analysis of threshold exceedances provides an extensive description of their underlying mechanisms. Asymptoti...
| Main Authors: | , |
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| Format: | Thesis |
| Language: | English |
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2004
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| _version_ | 1797053022798348288 |
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| author | Benjamin, N Benjamin, Nathanaël Alexandre |
| author2 | Reinert, G |
| author_facet | Reinert, G Benjamin, N Benjamin, Nathanaël Alexandre |
| author_sort | Benjamin, N |
| collection | OXFORD |
| description | <p>Generated by stochastic recursions, perpetuities encompass a vast range of discretetime financial behaviours. When focusing on the dramatic changes occurring in such processes, the analysis of threshold exceedances provides an extensive description of their underlying mechanisms. Asymptotically, an exceedance point process tends to a compound Poisson measure, highlighting a tendency to cluster. Now, the parameters of this limit law are known, but complex. Here, an empirical approach is adopted, and a class of explicit compound Poisson models developed, with a bound on the error, for the exceedance point process of a finite, multidimensional perpetuity. In a financial regulatory context, this provides a new way of examining the Value-at-Risk criterion for securities.</p> |
| first_indexed | 2024-03-06T18:38:32Z |
| format | Thesis |
| id | oxford-uuid:0c1f4ca7-5f0d-48ab-a823-ce8de66b9890 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:38:32Z |
| publishDate | 2004 |
| record_format | dspace |
| spelling | oxford-uuid:0c1f4ca7-5f0d-48ab-a823-ce8de66b98902022-03-26T09:33:06ZOccurrence of exceedances in a finite perpetuityThesishttp://purl.org/coar/resource_type/c_db06uuid:0c1f4ca7-5f0d-48ab-a823-ce8de66b9890Poisson manifoldsPerpetuitiesEnglishPolonsky Theses Digitisation Project2004Benjamin, NBenjamin, Nathanaël AlexandreReinert, GReinert, G<p>Generated by stochastic recursions, perpetuities encompass a vast range of discretetime financial behaviours. When focusing on the dramatic changes occurring in such processes, the analysis of threshold exceedances provides an extensive description of their underlying mechanisms. Asymptotically, an exceedance point process tends to a compound Poisson measure, highlighting a tendency to cluster. Now, the parameters of this limit law are known, but complex. Here, an empirical approach is adopted, and a class of explicit compound Poisson models developed, with a bound on the error, for the exceedance point process of a finite, multidimensional perpetuity. In a financial regulatory context, this provides a new way of examining the Value-at-Risk criterion for securities.</p> |
| spellingShingle | Poisson manifolds Perpetuities Benjamin, N Benjamin, Nathanaël Alexandre Occurrence of exceedances in a finite perpetuity |
| title | Occurrence of exceedances in a finite perpetuity |
| title_full | Occurrence of exceedances in a finite perpetuity |
| title_fullStr | Occurrence of exceedances in a finite perpetuity |
| title_full_unstemmed | Occurrence of exceedances in a finite perpetuity |
| title_short | Occurrence of exceedances in a finite perpetuity |
| title_sort | occurrence of exceedances in a finite perpetuity |
| topic | Poisson manifolds Perpetuities |
| work_keys_str_mv | AT benjaminn occurrenceofexceedancesinafiniteperpetuity AT benjaminnathanaelalexandre occurrenceofexceedancesinafiniteperpetuity |