Results 21 to 30 of about 220,018 (159)
Capital Regulation and Tail Risk [PDF]
SSRN Electronic Journal, 2011 The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk taking driven by limited liability.
Perotti, E., Ratnovski, L., Vlahu, R.
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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
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SSRN Electronic Journal, 2013 AbstractWe test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help predict the future performance of stocks in extreme market downturns.
Maarten van Oordt, Chen Zhou
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Tails, Fears, and Risk Premia [PDF]
The Journal of Finance, 2009 ABSTRACTWe show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time‐varying compensation for fears of disasters.
Tim Bollerslev, Viktor Todorov
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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
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The Role of Left Tail Risk in Explaining the Idiosyncratic Volatility Puzzle [PDF]
مطالعات تجربی حسابداری مالی, 2022 The Aim of this study is to introduce the left tail risk as a driver for creating idiosyncratic volatility and explainer the negative returns due to high unsystematic volatility. In addition, the present study is trying to determine how the idiosyncratic
Mahshid Shahrzadi, Darioush Foroughi
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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
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Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
Mathematics, 2023 Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution.
Hang Lin, Lixin Liu, Zhengjun Zhang
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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
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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
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