Results 201 to 210 of about 665,207 (240)
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SSRN Electronic Journal, 2016
We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk.
Richard D. F. Harris +2 more
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We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk.
Richard D. F. Harris +2 more
openaire +1 more source
The Journal of Investing, 2014
For purposes of risk management, typically used returns distributions are asymptotic to zero, the most popular being the Gaussian and Power Functions. Yet, this asymptotic property of tail risk is relatively unexploited in thinking about the most vexing of managerial behaviors, the tendency to ignore the most threatening hazards facing the organization.
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For purposes of risk management, typically used returns distributions are asymptotic to zero, the most popular being the Gaussian and Power Functions. Yet, this asymptotic property of tail risk is relatively unexploited in thinking about the most vexing of managerial behaviors, the tendency to ignore the most threatening hazards facing the organization.
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SSRN Electronic Journal, 2012
Since the height of the Global Financial Crisis in 2008, institutional investors have spent considerable time investigating ways to limit the downside risk in their portfolios. The term “Black Swan” has been used extensively to classify hard-to-identify, but impactful, events that cause “tail risks” in investors’ portfolios.
Frank Benham +2 more
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Since the height of the Global Financial Crisis in 2008, institutional investors have spent considerable time investigating ways to limit the downside risk in their portfolios. The term “Black Swan” has been used extensively to classify hard-to-identify, but impactful, events that cause “tail risks” in investors’ portfolios.
Frank Benham +2 more
openaire +1 more source
Tail risk in energy portfolios
Energy Economics, 2013This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using different generalized hyperbolic conditional distributions and ...
Carlos González-Pedraz +2 more
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SSRN Electronic Journal, 2017
With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty’s credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty’s default. With an extreme value
Janis Müller, Peter N. Posch
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With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty’s credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty’s default. With an extreme value
Janis Müller, Peter N. Posch
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The Journal of Portfolio Management, 2008
In the current deleveraging episode, the severity and simultaneous realization of low-probability events across a number of strategies has brought portfolio tail-risk hedging to the center of investors9 attention. In this article, the author discusses the basic principles and implementation considerations behind portfolio tail-risk management ...
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In the current deleveraging episode, the severity and simultaneous realization of low-probability events across a number of strategies has brought portfolio tail-risk hedging to the center of investors9 attention. In this article, the author discusses the basic principles and implementation considerations behind portfolio tail-risk management ...
openaire +1 more source
SSRN Electronic Journal, 2020
We study changes in expectations by incorporating tail risk in a Bayesian learning framework with information frictions. Using a signal extraction problem, we find that economic agents behave differently in the face of tail risk. First, under tail risk, uncertainty shocks lead to a decrease in expectations, which implies more pessimistic forecasts.
Yeow Hwee Chua, Zu Yao Hong
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We study changes in expectations by incorporating tail risk in a Bayesian learning framework with information frictions. Using a signal extraction problem, we find that economic agents behave differently in the face of tail risk. First, under tail risk, uncertainty shocks lead to a decrease in expectations, which implies more pessimistic forecasts.
Yeow Hwee Chua, Zu Yao Hong
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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 ...
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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
Multivariate risk models under heavy‐tailed risks
Applied Stochastic Models in Business and Industry, 2013In this paper, we consider four common types of ruin probabilities for a discrete‐time multivariate risk model, where the insurer is assumed to be exposed to a vector of net losses resulting from a number of business lines over each period. By assuming a large initial capital for the risk model and regularly varying distributions for the net losses, we
Huang, Wei, Weng, Chengguo, Zhang, Yi
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Forward-Looking Tail Risk Measures
SSRN Electronic Journal, 2018We present an analytical framework for the forward-looking measurement of extreme market risk. In contrast to standard techniques relying on past return data, we propose to extract Value-at-Risk and Expected Shortfall under the physical measure from current option prices.
Huggenberger, Markus +2 more
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