๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions

โœ Scribed by Robert W. Faff; Allan Hodgson; Michael L. Kremmer

Book ID
110751332
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
145 KB
Volume
32
Category
Article
ISSN
0306-686X

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## Analytical Finance The statistical estimation problem of (high) quantiles plays a fundamental role in both insurance and finance. For instance the pricing of Catastrophe Excess of Loss (CAT-XL) covers gives an example of the former, whereas the estimation of Value-at-Risk (VaR) in risk manageme