Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413981
Title: Occurrence of exceedances in a finite perpetuity
Author: Benjamin, Nathanaël Alexandre
Awarding Body: University of Oxford
Current Institution: University of Oxford
Date of Award: 2004
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Abstract:
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.
Supervisor: Reinert, Gesine Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.413981  DOI: Not available
Keywords: Perpetuities ; Poisson manifolds
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