Results 171 to 180 of about 6,316,556 (202)
Some of the next articles are maybe not open access.
Value-at-risk with heavy-tailed risk factors
Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520), 2002This paper develops methods for computationally efficient calculation of value-at-risk (VAR) in the presence of heavy-tailed risk factors. The methods model market risk factors through a multivariate t-distribution, which has both heavy tails and empirical support.
Paul Glasserman +2 more
openaire +2 more sources
Conditional tail behaviour and Value at Risk
Quantitative Finance, 2007In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call ‘MCVaR’.
Bellini F., FIGA' TALAMANCA, GIANNA
openaire +3 more sources
The Journal of Portfolio Management, 2023
To evaluate long run risks we often use stress tests. However, when we consider several stress scenarios, there is a question of how to interpret the results. This is the problem of compound risk. Using the concept of tail dependence, a solution is proposed. This is applied to the compound risk of climate and market risk for global banks.
openaire +1 more source
To evaluate long run risks we often use stress tests. However, when we consider several stress scenarios, there is a question of how to interpret the results. This is the problem of compound risk. Using the concept of tail dependence, a solution is proposed. This is applied to the compound risk of climate and market risk for global banks.
openaire +1 more source
Tailing Tail Risk in the Hedge Fund Industry
SSRN Electronic Journal, 2012This paper aims to assess dynamic tail risk exposure in the hedge fund sector using daily data. We use a copula function to model both lower and upper tail dependence between hedge-fund and broad-market returns as a function of market uncertainty. We proxy the latter by means of a single index that combines the options-implied market volatility, the ...
Walter Distaso +2 more
openaire +1 more source
The Devil Is in the Tail: Macroeconomic Tail Risk Expectations of Firms
CESifo Working PapersThis paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment decisions. In a large survey of German firms, I elicit (i) the subjective probability of a severe macroeconomic downturn and (ii) firms’ exposure to such an event.
openaire +2 more sources
SSRN Electronic Journal, 2011
Tail risk refers to the shape of the left tail of the distribution of investment returns. Return distributions are traditionally described in terms of their first for moments: mean return, volatility, skewness and kurtosis. Attribution is a descriptive approach used in portfolio analysis to explain a certain magnitude as the sum of contributions from ...
openaire +1 more source
Tail risk refers to the shape of the left tail of the distribution of investment returns. Return distributions are traditionally described in terms of their first for moments: mean return, volatility, skewness and kurtosis. Attribution is a descriptive approach used in portfolio analysis to explain a certain magnitude as the sum of contributions from ...
openaire +1 more source
Tail Risk Contagion Between International Financial Markets During COVID-19 Pandemic
International Review of Financial Analysis, 2021Aihua Li, Yanhong Guo
exaly
Tail Risk, Systemic Risk and Spillover Risk of Crude Oil and Precious Metals
Energy Economics, 2022Sajid M. Chaudhry, Chonlakan Benjasak
exaly
Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
Journal of the American Statistical Association, 2021Yanxi Hou
exaly