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Tail-risk interconnectedness in the Chinese insurance sector
Research in International Business and Finance, 2023Yufei Cao
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Extremal dependence structures and bounds of Tail Value-at-Risk
2016In quantitative risk management, we often need to deal with risk aggregation with dependence uncertainty. In this session, we examine several extremal positive and negative dependence structures. We will also discuss their relationships with upper and lower bounds of concave distortion risk measures of aggregate risks.
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Tail risk connectedness between US industries
International Journal of Finance and Economics, 2021Linh H Nguyen +2 more
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Tail risk contagion between international financial markets during COVID-19 pandemic
International Review of Financial Analysis, 2021exaly
Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach
Resources Policy, 2021Zhenhua Liu +2 more
exaly
Stock market tail risk, tail risk premia, and return predictability
Journal of Futures Markets, 2021Sangwon Suh, Sun-Joong Yoon
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Backtesting value-at-risk tail losses on a dynamic portfolio
The Journal of Risk Model Validation, 2014Alasdair Graham, János Pál
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Variance reduction techniques for value-at-risk with heavy-tailed risk factors
2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165), 2002Paul Glasserman +2 more
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