On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
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Implications of Heavy-Tailed Loss Distributions for Reinsurance and Solvency Capital: Evidence from US and Egyptian Insurance Markets (2020-2023) [PDF]
Maǧallaẗ Al-Buḥūṯ Al-TiǧāriyyaẗThis study aims to compare the performance of heavy-tailed probability distributions in modelingextreme insurance losses, with a focus on their implications for risk capital assessment and reinsurance pricing.
محمود فخرى محمد حماد
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An Optimal Tail Selection in Risk Measurement
Risks, 2021 The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task.
Małgorzata Just, Krzysztof Echaust
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Index tracking using Two-tail Mixed Conditional Value-at-risk in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2022 Objective: Passive management is an investing strategy that tracks a market value-weighted index or portfolio. It seeks to minimize the cost of investment fees and to avoid undesirable repercussions of the unpredictability of future trends.
Reza Eyvazloo +2 more
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Aggregate Risk Model and Risk Measure-Based Risk Allocation
InPrime, 2020 In actuarial modeling, aggregate risk is known as more attractive rather than individual risk. It has, however, usual difficulty in finding (the exact form of) joint probability distribution.
Khreshna Syuhada
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Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection
Mathematics, 2020 A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT).
Krzysztof Echaust, Małgorzata Just
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Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
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Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach
Entropy, 2020 This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting
Miloš Božović
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Tail risk of hedge funds: an extreme value application [PDF]
, 2007 1.1 Problem description Investors seek to maximise returns and to minimise risk. As risk is man- ageable but returns are not, these objectives can best be achieved through risk measurement/management techniques.
Gawron, Gregor Aleksander
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Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios
Risks, 2016 In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques.
Mélina Mailhot, Mhamed Mesfioui
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