Tail Behaviour of Weighted Sums of Order Statistics of Dependent Risks [PDF]
, 2014 Let $X_{1},\ldots ,X_{n}$ be $n$ real-valued dependent random variables. With motivation from Mitra and Resnick (2009), we derive the tail asymptotic expansion for the weighted sum of order statistics $X_{1:n}\leq \cdots \leq X_{n:n}$ of $X_{1},\ldots ...
Hashorva, Enkelejd, Li, Jinzhi
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Estimating portfolio risk for tail risk protection strategies [PDF]
European Financial Management, 2018 AbstractWe forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, copula‐GARCH and dynamic generalized autoregressive score models. Utilizing a loss function that overcomes the lack of elicitability for expected shortfall, we propose a novel expected shortfall (and value‐at ...
Happersberger, David +2 more
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ResourcesCommodity and carbon markets are central to natural resource allocation, energy security, and the effectiveness of carbon-pricing policies, yet their risk linkages can intensify sharply during crises.
Nader Naifar
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Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence [PDF]
, 2014 Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain,
Ames, Matthew +3 more
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Optimal Portfolio Choice and Stock Centrality for Tail Risk Events [PDF]
, 2021 Christis Katsouris
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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
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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 +2 more
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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
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Risk management and extreme scenario development using multiple regime switching approaches : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University [PDF]
, 2004 Over the last twenty-five years, there have been an increasingly large number of extreme events in the financial markets. This includes market crashes and natural disasters that have led to extremely large losses and claims.
Pallem, Dinesh
core
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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