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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 timeâvarying compensation for fears of disasters.
Tim Bollerslev, Viktor Todorov
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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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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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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 Protection Trading Strategies [PDF]
SSRN Electronic Journal, 2015 Starting from well-known empirical stylised facts of financial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations relative to a GARCH model with generalised innovations.
N. Packham +3 more
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Tails of random sums of a heavy-tailed number of light-tailed terms [PDF]
, 2007 The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk
Robert, Christian Y., Segers, Johan
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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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On the coherence of Expected Shortfall
, 2001 Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss
Acerbi, Carlo, Tasche, Dirk
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International Journal for Re-Views in Empirical Economics, 2019 This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in ...
Jiahua Xu
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