ANNOUNCEMENT
WORKSHOP
December 12 & 13, 2005
"The Economics & Finance of Extremes" to be held at EURANDOM, Eindhoven, The Netherlands.
http://www.eurandom.tue.nl/workshops/2005/Economics/economics_main.htm
The probabilistic and statistical theory of extreme values and heavy tails has developed vigorously in the last decades. Various types of economic and financial data have been found to exhibit heavy tail features and extreme value theory has been successfully applied to economic problems. For example, Pareto's work initiated the statistical work on the heavy tail nature of income and firm size distributions; more recently, elegant use was made in finance of statistics of extreme values in Value-at-Risk estimation and lately multivariate EVT has been instrumental for the estimation of systemic risk. While many economic data apparently are heavy tailed and do exhibit stronger interdependencies than the multivariate normal model would suggest, the financial and economics literature that explains these data features is scarce. Recently researchers from various fields such as probability theory, mathematical physics, and financial economics have produced interesting novel explanations.
It is the aim of this workshop to bring together a small group of high profile researchers who work on the (probabilistic) explanations of extremes-related phenomena in economics and finance, like heavy tailed distributions, or the tail behaviour of economic data in general. Apart from the question concerning the typical univariate tail behaviour of financial data, the workshop focuses on multivariate tail properties and their economic foundations. This analysis might explain why specific (tail) copulas should occur or why boundaries of the support of a distribution have certain features. We hope that this workshop will increase the understanding of the probabilistic properties of extremes of economic and financial datasets and will lead to improved statistical models.
SPEAKERS
1 hour Presentations
1. X. Gabaix (MIT)
2. E.V. Khmaladze (Victoria University)
3. S. Resnick (Cornell)
½ hour Presentations
1. J. Einmahl (Tilburg)
2. L. De Haan (EUR)
3. S. Huang Poon (Manchester)
4. N. Hyung (University of Seoul/Tinbergen Institute)
5. Deyuan Li (Bern)
6. Y. Malevergne (University of Lyon-ISFA)
7. C. van Marrewijk (EUR)
8. T. Mikosch (Copenhagen)
9. J. Perry (FED, Boston)
10. C. de Vries (EUR)
For more detailed information consult: http://www.eurandom.tue.nl/workshops/2005/Economics/economics_main.htm
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