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Tail Risks Across Investment Funds

Finanse i Prawo Finansowe
The purpose of the article. Managed portfolios are subject to tail risks, which can be either index level (systematic) or fund-specific. Examples of fund-specific extreme events include those due to big bets or fraud.
Jerchern Lin
doaj   +1 more source

Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

, 2017
We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the ...
Böcker C., Degen M., Embrechts P., Garman M., Kato T., McNeil A. J., TAKASHI KATO, Tasche D.   +7 more
core   +1 more source

Extreme risk in Asian equity markets [PDF]

Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events.
Cotter, John
core   +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

Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk [PDF]

We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studying these two aspects of risk measures.
Yamai, Yasuhiro, Yoshiba, Toshinao
core  

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

Measuring tail risk

Journal of Econometrics
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dierkes, Maik, Hollstein, Fabian, Prokopczuk, Marcel, Würsig, Christoph Matthias   +3 more
openaire   +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

LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS [PDF]

Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure.
Gustafson, Cole R.
core   +1 more source

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