Tail risk of hedge funds: an extreme value application [PDF]
, 2007 1.1 Problem description Investors seek to maximise returns and to minimise risk. As risk is man- ageable but returns are not, these objectives can best be achieved through risk measurement/management techniques. In this regard, the concept of diversification plays a central role in modern portfolio theory. It follows that investors' welfare can be
Gawron, Gregor Aleksander
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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
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Scandinavian Actuarial Journal, 2022 The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk measures. In particular, the Tail Value-at-Risk (TVaR) and the upper tail transform of comonotonic sums can be written as the sum of their corresponding marginal risk ...
Hanbali, Hamza +2 more
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The effect of Size, Value and Idiosyncratic Risk Anomalies on the Relationship between Tail Risk and Stock Excess Returns [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2022 Capital market anomalies are caused by factors haven’t been considered in capital asset pricing models. The theories of extreme value are one of the arguments for explaining anomalies.
Mostafa Ramezani Sharif Abadi +2 more
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RISIKO INVESTASI SAHAM SECOND LINER DENGAN TAIL VALUE AT RISK
MIX: Jurnal Ilmiah Manajemen, 2021 This pandemic which has been going on for almost a year, is very influential in all fields. Economic growth and investment in all countries have been declined dramatically.
Di Asih I Maruddani, Tutut Dewi Astuti
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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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