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Value-at-Risk and least squares tail index estimation [PDF]
, 1999 The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed distributions, as it exploits the information provided by ...
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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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Oil tail risk and the tail risk of the US Dollar exchange rates
Energy Economics, 2022Afees A Salisu, Abeeb Olaniran
exaly
Tail risk, systemic risk and spillover risk of crude oil and precious metals
Energy Economics, 2022Rizwan Ahmed, Sajid M Chaudhry
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Tail risk and systemic risk of finance and technology (FinTech) firms
Technological Forecasting and Social Change, 2022Rizwan Ahmed +2 more
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Variance reduction techniques for value-at-risk with heavy-tailed risk factors
2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165), 2002P. Glasserman +2 more
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Cancer risk among World Trade Center rescue and recovery workers: A review
Ca-A Cancer Journal for Clinicians, 2022Paolo Boffetta +2 more
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