Results 51 to 60 of about 220,018 (159)

Tail Risk in Commercial Property Insurance

Risks, 2014
We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd’s of London syndicates, and provides information on ...
Enrico Biffis, Erik Chavez
doaj   +1 more source

Tail associations in ecological variables and their impact on extinction risk

Ecosphere, 2020
Extreme climatic events (ECEs) are becoming more frequent and more intense due to climate change. Furthermore, there is reason to believe ECEs may modify "tail associations" between distinct population vital rates, or between values of an environmental ...
Shyamolina Ghosh, Lawrence W. Sheppard, Daniel C. Reuman   +2 more
doaj   +1 more source

A longitudinal study of pre- and post-weaning tail damage in non-docked pigs

Animal, 2020
Tail-biting occurs pre-weaning, but literature on tail damage during lactation and on the development of damage over time is sparse, especially for non-docked piglets. We assessed the prevalence of tail damage in non-docked piglets in a commercial Danish
F. Hakansson, H.P. Lahrmann, B. Forkman
doaj   +1 more source

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.
openaire   +1 more source

Bank tail risk in China

International Studies of Economics
In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure univariate and multivariate conditional tail risk probabilities.
Huan Yang, Jun Cai, Lin Huang
doaj   +1 more source

Quantifying Tail Risk Spillovers in Chinese Petroleum Supply Chain Enterprises: A Neural-Network-Inspired Multi-Layer Machine Learning Framework

Systems
This study constructs a neural-network-inspired multi-layer machine learning model (RQLNet) to measure and analyze the effects of tail risk spillover and its associated sensitivities to macroeconomic factors among petroleum supply chain enterprises.
Xin Zheng, Lei Wang, Tingqiang Chen, Tao Xu   +3 more
doaj   +1 more source

Comparative Analysis of Tail Risk in Emerging and Developed Equity Markets: An Extreme Value Theory Perspective

International Journal of Financial Studies
This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and ...
Sthembiso Dlamini, Sandile Charles Shongwe   +1 more
doaj   +1 more source

Measuring macroeconomic tail risk

Journal of Financial Economics
This paper estimates consumption and GDP tail risk dynamics over the long run (1876– 020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical ...
Roberto Marfè, Julien Pénasse
openaire   +4 more sources

Corporate social performance as a market force: Analysing its impact on stocks’ tail risk and upside potential in the Spanish equity market

Management Letters/Cuadernos de Gestión
This study examines the impact of corporate social performance (CSP) and its subdimensions (workforce, human rights, community, and product responsibility) on firms’ tail risk and upside potential in the Spanish stock market.
Julen Galarza-Maria, Eduardo Ortas, José M. Moneva   +2 more
doaj   +1 more source

A Break-Regime Score-Driven Model for Tail-Risk Forecasting in China’s Carbon Market Under Policy Shifts

Mathematics
Accurate tail-risk measurement in carbon markets is challenging because carbon allowance prices are shaped not only by heavy-tailed return dynamics, but also by policy changes that can alter the underlying risk dynamics.
Xinshu Gong, Bin Zheng
doaj   +1 more source