Results 21 to 30 of about 665,207 (240)
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
TENET: Tail-Event Driven NETwork Risk [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Karl Härdle, Wolfgang +2 more
openaire +7 more sources
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
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
openaire +2 more sources
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
doaj +1 more source
Tail Asymptotics of Deflated Risks [PDF]
, 2013 Random deflated risk models have been considered in recent literatures. In this paper, we investigate second-order tail behavior of the deflated risk X=RS under the assumptions of second-order regular variation on the survival functions of the risk R and
Hashorva, E., Ling, C., Peng, Z.
core +3 more sources
SSRN Electronic Journal, 2018 AbstractStrong 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. The cost of option protection against downside tail risks is larger for firms with more carbon-intense ...
Ilhan, Emirhan +2 more
openaire +1 more source
Retail investors and overpricing of left-tail risk: evidence from the Korean stock market [PDF]
Seonmul yeongu, 2023 – The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze future returns
Jungmu Kim +2 more
doaj +1 more source
Option-implied information and predictability of extreme returns : [Version 28 Januar 2013] [PDF]
, 2012 We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and ...
Vilkov, Grigory, Xiao, Yan
core +2 more sources
Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure [PDF]
, 2019 Scenario generation is the construction of a discrete random vector to represent parameters of uncertain values in a stochastic program. Most approaches to scenario generation are distribution-driven, that is, they attempt to construct a random vector ...
Fairbrother, Jamie +2 more
core +2 more sources