Results 11 to 20 of about 658,287 (293)
Tail Risk Constraints and Maximum Entropy [PDF]
Entropy, 2015 Portfolio selection in the financial literature has essentially been analyzed under two central assumptions: full knowledge of the joint probability distribution of the returns of the securities that will comprise the target portfolio; and investors ...
Donald Geman +2 more
doaj +6 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 ...
Breugem M +3 more
europepmc +5 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 +2 more sources
Tail Risk and Extreme Events: Connections between Oil and Clean Energy
Risks, 2021 Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study. The
Elisa Di Febo +2 more
doaj +1 more source
Retail investors and overpricing of left-tail risk: evidence from the Korean stock market [PDF]
Seonmul yeongu, 2023 – The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze future returns
Jungmu Kim +2 more
doaj +1 more source
TENET: Tail-Event Driven NETwork Risk [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Karl Härdle, Wolfgang +2 more
openaire +7 more sources
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 ...
Bax, Karoline +3 more
openaire +2 more sources
Pensamiento Crítico, 2018 En el presente trabajo se realizará la simulación el efecto de la interdependencia y el contagio en las decisiones de compra y venta de los inversionistasen un mercado financiero de tipo Black-Schole,donde existen dos activos financieros: acciones ...
Jesús Barrantes Limahuaya +2 more
doaj +1 more source