Results 31 to 40 of about 665,207 (240)
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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SSRN Electronic Journal, 2015 SummaryThis paper presents an early warning system as a set of multi‐period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data for the period 1972:1–2014:12. Pseudo‐real‐time forecasts are generated from: (a) sets of autoregressive and factor‐augmented vector autoregressions (VARs), and (b) sets ...
De Nicolò, Gianni, LUCCHETTA, Marcella
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Tail approximation for credit risk portfolios with heavy-tailed risk factors [PDF]
The Journal of Risk, 2006 We consider a portfolio credit risk model in the spirit of CreditMetrics [15]. The multivariate normally distributed underlying risk factors in that model are replaced by more general multivariate elliptical factors with heavy-tailed marginals, introducing tail-dependence. We consider a full-scale version of the model, i.e.
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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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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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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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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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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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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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