Results 1 to 10 of about 6,316,556 (202)
The Taxonomy of Tail Risk [PDF]
Journal of Financial Research, 2023 We use tail events at different levels of severity to define an asset’s tail risk and to decompose the latter into a systematic and an idiosyncratic component. The systematic component captures an asset's tendency to experience joint tail losses with the market and generalizes a classic tail dependence coefficient.
Evarist Stoja +2 more
openaire +4 more sources
SSRN Electronic Journal, 2020 This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while the tail risk of the market index did not respond before the outbreak, we document that the tail risk of ...
Matthijs, Breugem +3 more
openaire +5 more sources
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
doaj +2 more sources
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
doaj +1 more source
ESG, risk, and (tail) dependence [PDF]
International Review of Financial Analysis, 2021 While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk ...
Karoline Bax +3 more
openaire +2 more sources
The Journal of Finance and Data Science, 2022 Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time.
Kan Chen, Tuoyuan Cheng
openaire +3 more sources
Tail risk interdependence [PDF]
International Journal of Finance & Economics, 2019 AbstractWe present a framework focused on the interdependence of high‐dimensional tail events. This framework allows us to analyse and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the interdependence of a system.
Arnold Polanski +2 more
openaire +4 more sources
SSRN Electronic Journal, 2014 We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE.
Germán López-Espinosa +3 more
openaire +1 more source
Tail risk of contagious diseases [PDF]
Nature Physics, 2020 Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially existential risk for humanity.
Cirillo, Pasquale +1 more
openaire +2 more sources
On the Measurement of Economic Tail Risk [PDF]
Operations Research, 2014 This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical ...
Steven Kou, Xian Hua Peng
openaire +5 more sources