Seminar with Tom Coleman @KU
The guest speaker for the Seminar this Friday at the Economics Department was Tom Coleman, from The University of Chicago. As usual, I added a link for his Profile Page at UChicago.
The theme is also one of his papers “Financial Risk Measurement and Joint Extreme Events: The Normal, Student-t, and Mixture of Normals”, and the pdf link is just below.
It is a really interesting topic, since in Statistics, Quantitative Analysis as well as in Econometrics, we tend to use Normal distribution, even though much of the data doesn’t behave normally. Prof. Coleman carefully examines this habit in quantitative analysis on financial returns and P&L.
Prof. Coleman is also the Author of Quantitative Risk Management (2012), which I added the epub ebook link below.