COVID-19: Tail risk and predictive regressions [PDF]
PLoS ONE, 2022 The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World.
Walter Distaso +3 more
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Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach [PDF]
Entropy, 2020 This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting
Miloš Božović
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Will a boom be followed by crash? A new systemic risk measure based on right-tail risk [PDF]
Frontiers in Psychology, 2023 In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe.
Qing Liu, Mengxia Xu, Jinwu Xiong
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Tail Risk Spillover Between Global Stock Markets Based on Effective Rényi Transfer Entropy and Wavelet Analysis [PDF]
EntropyTo examine the spillover of tail-risk information across global stock markets, we select nine major stock markets for the period spanning from June 2014 to May 2024 as the sample data. First, we employ effective Rényi transfer entropy to measure the tail-
Jingjing Jia
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On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation [PDF]
EntropyWe introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE).
Pingyun Li, Chuancun Yin
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Tail Risk Dynamics under Price-Limited Constraint: A Censored Autoregressive Conditional Fréchet Model [PDF]
EntropyThis paper proposes a novel censored autoregressive conditional Fréchet (CAcF) model with a flexible evolution scheme for the time-varying parameters, which allows deciphering tail risk dynamics constrained by price limits from the viewpoints of ...
Tao Xu, Lei Shu, Yu Chen
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The effect of Size, Value and Idiosyncratic Risk Anomalies on the Relationship between Tail Risk and Stock Excess Returns [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2022 Capital market anomalies are caused by factors haven’t been considered in capital asset pricing models. The theories of extreme value are one of the arguments for explaining anomalies.
Mostafa Ramezani Sharif Abadi +2 more
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Is tail risk priced in the cross-section of international stock index returns?
Modern Finance, 2023 This study examines the predictive power of tail risk measures in stock indices returns using a comprehensive dataset covering 50 countries from 1926 to 2021.
Aleksander Mercik
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The Role of Left Tail Risk in Explaining the Idiosyncratic Volatility Puzzle [PDF]
مطالعات تجربی حسابداری مالی, 2022 The Aim of this study is to introduce the left tail risk as a driver for creating idiosyncratic volatility and explainer the negative returns due to high unsystematic volatility. In addition, the present study is trying to determine how the idiosyncratic
Mahshid Shahrzadi, Darioush Foroughi
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Bivariate Copula Trees for Gross Loss Aggregation with Positively Dependent Risks
Risks, 2022 We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees.
Rafał Wójcik, Charlie Wusuo Liu
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