Results 291 to 299 of about 138,460 (299)

Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement

Journal of the American Statistical Association, 2021
exaly  

Tail risk in energy portfolios

Energy Economics, 2014
Manuel Moreno, Juan Ignacio Pena
exaly  

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

Insurance: Mathematics and Economics, 2017
Jun Cai, Tiantian Mao
exaly  

Friends or Foes : a Story of Value at Risk and Expected Tail Loss

2008
Since the introduction by Artzner (1997, 1999) of coherent risk measures and the new dawn of measuring extreme losses it seems as if the academic community is willing to sacrifice and erase all the advances made in the field of measuring VaR. Expected tail loss (ETL) as a risk measure is superior to VaR since VaR is not a coherent risk measure, in that
openaire   +1 more source

Tail Risk Concerns Everywhere

Management Science, 2019
George P Gao, Xiaomeng Lu, Zhaogang Song   +2 more
exaly  

Tail Risk of Multivariate Regular Variation

Methodology and Computing in Applied Probability, 2010
Harry Joe, Haijun Li, Joe Harry
exaly  

Asymmetric tail risk spillover and co-movement between climate risk and the international energy market

Energy Economics
David Adeabah, Thu Phuong Pham
exaly  

Currency tail risk measurement and spillovers: An improved TENET approach

Finance Research Letters
Shi He, Huijuan Yu, Zihao Luo
exaly  

Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness

Management Science, 2017
exaly