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Value at Risk Calculations, Extreme Events, and Tail Estimation
The Journal of Derivatives, 2000Value at risk has become a standard approach for estimating and expressing a firm9s exposure to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses only on the tail of the distribution of outcomes - the extreme events. This makes a lot of sense in theory, but a major problem arises in practice, because empirical returns ...
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Extreme Returns, Tail Estimation, and Value-at-Risk [PDF]
, 1997 Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and Risk Metrics techniques for computing Valu-at Risk (VaR) are compared with a method which involves modelling the tails of financial returns explicitly with a tail estimator.
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Uncertain random portfolio optimization model with tail value-at-risk
Soft Computing, 2022Qiqi Li, Zhongfeng Qin, Yingchen Yan
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Equity tail risk and currency risk premiums
Journal of Financial Economics, 2022Zhenzhen Fan, Juan M Londono
exaly
Tail risk, systemic risk and spillover risk of crude oil and precious metals
Energy Economics, 2022Rizwan Ahmed +2 more
exaly
Tail-risk spillovers in cryptocurrency markets
Finance Research Letters, 2021Qiuhua Xu, Ziyang Zhang
exaly
Tail risk contagion across electricity markets in crisis periods
Energy Economics, 2023Mohammad Abdullah +2 more
exaly
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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Tail-risk interconnectedness in the Chinese insurance sector
Research in International Business and Finance, 2023Yufei Cao
exaly