Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms. [PDF]
Comput Econ, 2022 Zhang Z, Chen Y.
europepmc +1 more source
Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks
, 2022 Yu‐Fan Huang, Wenting Liao, Sui Luo
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Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis. [PDF]
Res Int Bus Finance, 2022 Aloui R, Ben Jabeur S, Mefteh-Wali S.
europepmc +1 more source
General Insurance Premiums When Tail Fatness Is Unknown: A Fat Premium Representation Theorem [PDF]
Fat-tailed distributions are used to model claims on general insurance contracts under which extremely large claims are a very real possibility. Since estimation of the tail-fatness parameter is notoriously difficult - it is one of the major outstanding ...
Roger Gay
core
Time-varying dependence and currency tail risk during the Covid-19 pandemic [PDF]
, 2023 Fabio Gobbi, Sabrina Mulinacci
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Systemic Risk Transmission in Commodity Markets
RisksThis paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo ...
Irina Georgescu
doaj +1 more source
The impact of COVID-19 on tail risk: Evidence from Nifty index options. [PDF]
Econ Lett, 2021 Agarwalla SK, Varma JR, Virmani V.
europepmc +1 more source
CVaR sensitivity with respect to tail thickness [PDF]
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with
Fabozzi, Frank J. +2 more
core
Evaluation of a scheme to identify risks for tail biting in pigs.
PLoS ONEThe study aimed to assess the effectiveness of a tail-biting risk assessment scheme. The scheme consisted of trained private veterinary practitioners (assessors) applying a risk assessment tool on commercial pig farms to six pens per farm. The assessment
Roberta Maria D'Alessio +4 more
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Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan [PDF]
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for
Nawaz, Faisal, Qayyum, Abdul
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