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Extreme Returns, Tail Estimation, and Value-at-Risk [PDF]
, 1997 Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and Risk Metrics techniques for computing Valu-at Risk (VaR) are compared with a method which involves modelling the tails of financial returns explicitly with a tail estimator.
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Uncertain random portfolio optimization model with tail value-at-risk
Soft Computing, 2022Qiqi Li, Zhongfeng Qin, Yingchen Yan
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Heavy-tailed value-at-risk analysis for Malaysian stock exchange
Physica A: Statistical Mechanics and its Applications, 2008Abstract This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns.
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Value-at-Risk and least squares tail index estimation [PDF]
, 1999 The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed distributions, as it exploits the information provided by ...
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Equity tail risk and currency risk premiums
Journal of Financial Economics, 2022Zhenzhen Fan, Juan M Londono
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The importance of fat-tailed and skewed distributions in modeling value-at-risk
2018Most of the Value-at-Risk models assume that financial returns are normally distributed, despite the fact that they are commonly known to be left skewed, fat-tailed and excess kurtosis. Forecasting Value-at-Risk with misspecified model leads to the underestimation or overestimation of the true Value-at-Risk.
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Tail risk, systemic risk and spillover risk of crude oil and precious metals
Energy Economics, 2022Rizwan Ahmed +2 more
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Tail-risk spillovers in cryptocurrency markets
Finance Research Letters, 2021Qiuhua Xu, Ziyang Zhang
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Tail risk contagion across electricity markets in crisis periods
Energy Economics, 2023Mohammad Abdullah +2 more
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