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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 ...
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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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Management Science, 2019
We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures.
George P. Gao +2 more
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We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures.
George P. Gao +2 more
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Systemic Tail Risk Distribution
Annals of Economics and Statistics, 2016We introduce the systemic tail risk distribution of a financial market to characterize the asset return linkages during financial crisis. This distribution provides the probabilities that several assets of a market lose a large part of their nominal value given that the price of at least one of them collapses.
null Alexis Bienvenüe +1 more
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