The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns [PDF]
تحقیقات مالی, 2020 Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function.
Mahshid Shahrzadi +2 more
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MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION [PDF]
International Journal of Theoretical and Applied Finance, 2011 For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness.
Carlo Marinelli +2 more
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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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On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk
IEEE Access, 2021 In this paper, we study a novel risk measure, which is a copula-based extension of tail value-at-risk (TVaR). This measure is called dependent tail value-at-risk (DTVaR), which is a generalization of TVaR.
Bony Parulian Josaphat +2 more
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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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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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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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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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Tail Conditional Expectations Based on Kumaraswamy Dispersion Models
Mathematics, 2021 Recently, there seems to be an increasing amount of interest in the use of the tail conditional expectation (TCE) as a useful measure of risk associated with a production process, for example, in the measurement of risk associated with stock returns ...
Indranil Ghosh, Filipe J. Marques
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