Results 11 to 20 of about 220,018 (159)
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
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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
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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
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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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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
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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
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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
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Exploiting Distributional Temporal Difference Learning to Deal with Tail Risk
Risks, 2020 In traditional Reinforcement Learning (RL), agents learn to optimize actions in a dynamic context based on recursive estimation of expected values. We show that this form of machine learning fails when rewards (returns) are affected by tail risk, i.e ...
Peter Bossaerts +2 more
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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
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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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