Results 51 to 60 of about 6,316,556 (202)

Global geopolitical risk and industrial tail risk in the Chinese stock market: a quantile-on-quantile connectedness approach

Frontiers in Physics
Global 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
doaj   +1 more source

Rogue traders versus value-at-risk and expected shortfall [PDF]

, 2018
We show that, in a Black and Scholes market, value at risk and ex- pected shortfall are irrelevant in limiting traders excessive tail-risk seeking behaviour as modelled via Kahneman and Tversky’s S-shaped utility. To have effective constraints one can
Brigo, D, Armstrong, John
core  

Tail risk diversification strategy with flight-from-loss approach: Evidence from U.S. REITs

International Journal of Strategic Property Management
This 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
doaj   +1 more source

Tail Risk Spillovers Between FinTech and Sustainability Sectors: Evidence from China Using Factor-Purged Quantile Connectedness

International Journal of Financial Studies
The rapid integration of FinTech and sustainability-oriented sectors is reshaping financial risk dynamics, particularly in emerging markets such as China.
Ke Peng, Muhammad Munir, Jifan Ren, Mariem Mejri   +3 more
doaj   +1 more source

Tail Behaviour of the Euro [PDF]

This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this.
John Cotter
core   +2 more sources

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, Wilson Ye Chen, Richard H. Gerlach   +2 more
doaj   +1 more source

Tail dependence, tail asymmetry and credit portfolio risk

Journal of the Japan Statistical Society, Japanese Issue, 2021
Summary: In the risk management of the credit portfolio of a bank, Normal copula is standard for modelling dependencies between each credit in the portfolio. The Normal copula modelling is criticized by the tendency of underestimation of the risk due to its asymptotic independence. This paper analyses the effect of dependence between each extreme value
openaire   +1 more source

Extreme Value Theory for Tail-Related Risk Measures [PDF]

Many fields of modern science and engineering have to deal with events which are rare but have significant consequences. Extreme value theory is considered to provide the basis for the statistical modeling of such extremes. The potential of extreme value
Evis Këllezi, Manfred Gilli
core  

Operationally Constrained Zero-Day Intrusion Detection with Target-FPR Calibration and Similarity Graph Construction

Applied Sciences
Intrusion 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
doaj   +1 more source

Time variation in the tail behaviour of bunds futures returns [PDF]

The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time?
Upper, Christian, Werner, Thomas
core