Results 21 to 30 of about 6,316,556 (202)
SSRN Electronic Journal, 2018 Abstract Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market.
Ilhan, Emirhan +2 more
openaire +1 more source
Individual piglets' contribution to the development of tail biting [PDF]
, 2011 Conflicting hypotheses exist about the contribution of individual pigs to the development of a tail-biting outbreak, but there is limited quantitative information to support or dismiss them.
Kemp, B. +4 more
core +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
Tail risk of electricity futures
Energy Economics, 2020 This paper compares the in-sample and out-of-sample performance of several models for computing the tail risk of one-month and one-year electricity futures contracts traded in the NordPool, French, German, and Spanish markets in 2008-2017. As measures of tail risk, we use the one-day-ahead Value-at-Risk (VaR) and the Expected Shortfall (ES).
Peña, Juan Ignacio +2 more
openaire +2 more sources
Study on the spillover effects of tail risks in the supply chain of China’s pharmaceutical industry
Frontiers in Public HealthIntroductionIn the context of heightened economic uncertainty and frequent extreme events, enhancing the resilience of pharmaceutical supply chains, safeguarding their security and stability, and promoting high-quality development in China’s ...
Cheng Wang +5 more
doaj +1 more source
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’ preferences are expressed through a utility function.
Donald Geman +2 more
openaire +7 more sources
South African Journal of ScienceTail risk assessment is crucial in financial markets, especially for commodities such as Brent crude oil, where extreme price fluctuations pose a risk for investors and policymakers.
Kelebogile Bantsi, Katleho Makatjane
doaj +1 more source
Frontiers in Environmental ScienceESG disclosure has become an important mechanism through which firms communicate environmental responsibility. However, whether reported ESG information reflects underlying environmental performance remains uncertain in transitional institutional ...
Suxiang Qin, Huifang Teng
doaj +1 more source