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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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SSRN Electronic Journal, 2023 AbstractWe use tail events at different levels of severity to define an asset's tail risk and to decompose the latter into a systematic and an idiosyncratic component. The systematic component captures an asset's tendency to experience joint tail losses with the market and generalizes a classic tail dependence coefficient.
Evarist Stoja +2 more
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Tail Risk around FOMC Announcements
SSRN Electronic Journal, 2022 Abstract Predictive regressions of market returns on option-implied moments measured before pre-scheduled FOMC meetings show that tail risks play an important role in understanding the market risk premium around FOMC announcement days. Skewness and kurtosis, which capture investors’ expectations of the tails of the return distribution,
Kris Jacobs, Sai Ke, Xuhui (Nick) Pan
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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
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Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments
Risks, 2016 This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce ...
Gareth W. Peters +2 more
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, 2017 In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due to the ...
Antonio, Katrien +3 more
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Tail risk of contagious diseases [PDF]
Nature Physics, 2020 Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially existential risk for humanity.
Cirillo, Pasquale +1 more
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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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A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting
MathematicsThis study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
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Cost-Effectiveness Analysis of Seven Measures to Reduce Tail Biting Lesions in Fattening Pigs
Frontiers in Veterinary Science, 2021 Tail biting is an important animal welfare issue in the pig sector. Studies have identified various risk factors which can lead to biting incidents and proposed mitigation measures.
Jarkko K. Niemi +6 more
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