Results 31 to 40 of about 220,018 (159)
Implied Tail Risk and ESG Ratings
Mathematics, 2021 This paper explores whether the high or low ESG rating of a company is related to the level of its implied tail risk, measured on the basis of derivative data by implied skewness and implied kurtosis.
Jingyan Zhang +2 more
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Frontiers in PhysicsGlobal geopolitical risk (GPR) has increasingly become a pivotal driver of financial market volatility, understanding the impact of GPR on market tail risk is crucial, particularly as traditional models often overlook the complex, nonlinear dynamics ...
Jing Li, Yunzhong Li, Fujun Lai, An Li
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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Tail risk diversification strategy with flight-from-loss approach: Evidence from U.S. REITs
International Journal of Strategic Property ManagementThis study introduces a novel portfolio allocation strategy, the flight-from-loss approach, designed to diversify tail risk in the REIT market. The strategy reallocates capital toward assets that have historically outperformed during periods of extreme ...
Kang Mo Koo, Jeongseop Song
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International Journal of Financial StudiesThe rapid integration of FinTech and sustainability-oriented sectors is reshaping financial risk dynamics, particularly in emerging markets such as China.
Ke Peng +3 more
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Measuring the tail risk: An asymptotic approach [PDF]
Journal of Mathematical Analysis and Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alexandru V. Asimit, Jinzhu Li
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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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Tail Risk in Production Networks
Econometrica, 2022 This paper describes the response of the economy to large shocks in a nonlinear production network. A sector's tail centrality measures how a large negative shock transmits to GDP, that is, the systemic risk of the sector. Tail centrality is theoretically and empirically very different from local centrality measures such as sales share—in ...
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Applied SciencesIntrusion detectors are often evaluated using average metrics at unconstrained thresholds, yet deployments require explicit control over false alarms. We investigate zero-day (out-of-distribution, OOD) intrusion detection under a target-FPR calibrated ...
Yuseong Ha, Keecheon Kim
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How Much Risk in U.S. Government Bond Markets Is Transmitted to Their Canadian Counterparts?
RisksWe address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia. Our approach combines a flexible marginal specification—the Skewed Generalized Error Distribution—with a flexible bivariate copula (BB7) to ...
Bruno Feunou +2 more
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