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Financial InnovationThe main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which investor sentiment, economic conditions, and economic uncertainty can predict tail risk interconnectedness.
Aktham Maghyereh, Salem Adel Ziadat
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Estimation of Tail Value at Risk for Bivariate Portfolio using Gumbel Copula
JTAM (Jurnal Teori dan Aplikasi Matematika)Investing in the stock market involves complex risks, especially under extreme and unpredictable conditions. While Value at Risk (VaR) is a widely used risk measure, it has limitations in capturing tail-end risks.
Fransiska Fransiska +2 more
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The Truncated Lomax-exponential distribution and its fitting to financial data [PDF]
Journal of Mahani Mathematical Research, 2023 Nowadays, analyzing the losses data of the insurance and asset portfolios has special importance in risk analysis and economic problems. Therefore, having suitable distributions that are able to fit such data, is important.
Shohreh Enamiaraghi
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Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2021 Objective: Portfolio risk measurement has always been one crucial aspect of finance. Several approaches have been modeled through time and some traditional approaches are criticized by researchers.
Adel Behzadi
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
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A new Bayesian method for estimation of value at risk and conditional value at risk [PDF]
Empirical Economics, 2023 Value at Risk (VaR) and Conditional Value at Risk (CVaR) have become the most popular measures of market risk in Financial and Insurance fields. However, the estimation of both risk measures is challenging, because it requires the knowledge of the tail ...
Jacinto Martín +3 more
semanticscholar +1 more source
Efficient Off-Policy Safe Reinforcement Learning Using Trust Region Conditional Value At Risk [PDF]
IEEE Robotics and Automation Letters, 2022 This letter aims to solve a safe reinforcement learning (RL) problem with risk measure-based constraints. As risk measures, such as conditional value at risk (CVaR), focus on the tail distribution of cost signals, constraining risk measures can ...
Dohyeong Kim, Songhwai Oh
semanticscholar +1 more source
Risks, 2023 Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature.
Qian Xiong +2 more
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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
openaire +4 more sources