Results 251 to 260 of about 658,287 (293)
Some of the next articles are maybe not open access.
SSRN Electronic Journal, 2004
This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the risk associated with the probability measure conditional ...
Carlos Pedro dos Santos Gonçalves +1 more
openaire +1 more source
This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the risk associated with the probability measure conditional ...
Carlos Pedro dos Santos Gonçalves +1 more
openaire +1 more source
Stock market tail risk, tail risk premia, and return predictability
Journal of Futures Markets, 2021AbstractIn this study, we use the S&P 500 options prices to derive various tail risk indexes. We then decompose the option‐implied tail risk indexes into the conditional tail risk of stock returns and equity tail risk premia. We examine the predictive power of the conditional tail risks and equity tail risk premia for various stock portfolio ...
Sangwon Suh +2 more
openaire +1 more source
2020
La plupart des modèles de prévisions macroéconomiques ne tiennent pas compte du risque de crise, soit le risque d’une baisse marquée et soudaine du produit intérieur brut (PIB). Pourtant, les décideurs se préoccupent de ce type de risque extrême étant donné les coûts socioéconomiques substantiels qui en découleraient.
Duprey, Thibaut, Ueberfeldt, Alexander
openaire +2 more sources
La plupart des modèles de prévisions macroéconomiques ne tiennent pas compte du risque de crise, soit le risque d’une baisse marquée et soudaine du produit intérieur brut (PIB). Pourtant, les décideurs se préoccupent de ce type de risque extrême étant donné les coûts socioéconomiques substantiels qui en découleraient.
Duprey, Thibaut, Ueberfeldt, Alexander
openaire +2 more sources
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
openaire +1 more source
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.
openaire +1 more source
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.
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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 ...
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source