Tail risk
Tail risk in pension funds: An analysis using ARCH models and bilinear processes
... Now, a well-known moment inequality in probability theory suggests that infinite higher-order moments should lead to a heavy-tailed probability distribution. At a fundamental level, heavy tails can be explained by an ...
44
Measuring the Tail Risk: An Asymptotic Approach
... The risk exposure of a business line could be perceived in many ways and is sensitive to the exercise that is ...common/reference risk over the performance of the business line in question, but irrespective ...
23
Problem driven scenario generation:an analytical approach for stochastic programs with tail risk measure
... a tail risk measure, such as conditional value-at-risk, is applied to a loss ...Since tail risk measures only depend on the upper tail of a distribution, standard methods of ...
31
Essays in Asset Pricing and Tail Risk
... catastrophic tail risk (measured by summing the probabilities of all intervals) has returned to roughly the same level as the pre-crisis ...other tail risk measures based on the stock or ...
202
Tail risk constraints and maximal entropy
... maximum risk. (The idea of substituting variance for risk can appear very strange to practitioners of ...his risk aversion, since it also minimizes the variability in the profit domain—except in the ...
15
Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange
... 14 movements in large market-cap stocks. In their composition, value-weighted indices proportionally assign weights to firms according to their market capitalization and consequently give greater (smaller) weights to ...
36
Is tail risk the missing link between institutions and risk?
... that risk is detrimental to growth at least in a cross-country ...extreme risk across the cross- section of international stock markets and revisit the debate over institutions and risk by exploring ...
15
Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data
... on tail risk resulting from stochastic vola- tility, there is fewer work to study the jump tail ...jump tail events, and the econometric techniques for more accurately esti- mating and ...
12
Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios
... Both investment strategies analysing the absolute and relative trend interaction with size as an investing style give a powerful message that tail risk/drawdowns can be managed to give attractive Sharpe ...
18
Estimation of tail risk based on extreme expectiles
... at Risk (VaR) and Marginal Expected Shortfall (MES) are two instruments of risk protection of utmost importance in actuarial science and statistical ...of tail quantiles as a main tool for ...
30
Measuring the propagation of financial distress with Granger-causality tail risk networks
... Our work contributes to several strands of literature. Concerning flight-to-quality, the analysis by Beber et al. (2009) sheds insight- ful light on how liquidity and quality are chased in the market. Unusual capital flows ...
20
Estimation of tail risk based on extreme expectiles
... Figure 3: Root MSE estimates of ξrτ‹n1 pkq{ξτn1 solid line and ξpτ‹n1 pkq{ξτn1 dashed line, as functions of k, for the positive Student t3 , t5 , t7 and t9 -distributions, respectively, [r] ...
37
How Ties to Professional Support Networks Impact Social Outcomes among Homeless Youth
... to tail risk when they follow dynamic trading strategies that have a non-linear relationship with the broader market (Fung and Hsieh, 1997, 2001, 2004; Mitchell and Pulvino, 2001; Agarwal and Naik, ...
62
“Does the tail wag the dog? The effect of credit default swaps on credit risk”
... in the specific case of CDS regarding their effect on the underlying asset. 3 Apart from common concerns that apply to all derivatives, CDS contracts are somewhat different. CDS contracts are traded over-the-counter, where ...
68
The Asymptotic Tail Behavior of Discounted Total Claims for a Bivariate Risk Model with Constant Rate of Interest
... bivariate risk model with constant rate of interest, in which the two kinds of claim sizes constitute a sequence of independent and identically distributed random vectors following a bivariate FGM ...the ...
6
Value at Risk Estimation using the Kappa Distribution with Application to Insurance Data
... at risk is one of the oldest risk measures, which is basically defined as the maximum expected loss for a given ...at risk for foreign exchange rate risk in ...at risk. Results of this ...
10
Mechanisms of helical swimming: asymmetries in the morphology, movement and mechanics of larvae of the ascidian Distaplia occidentalis
... A great diversity of unicellular and invertebrate organisms swim along a helical path, but it is not well understood how asymmetries in the body shape or the movement of propulsive structures affect a swimmer’s ability ...
15
Heavy tails and dependence with applications in insurance
... a risk process of sum of losses in insurance or operational risks, depen- dence and heavy-tailedness should be taken into account together to achieve a sound mathematical model of the tail ...a risk ...
142
Three Essays on the Economics of Risk, Insurance, and Production.
... as tail dependence) between two or more dependent variables, and also enables modelers to flexibly model marginal distributions of interest by taking advantage of any mixtures of parametric distributions for ...
208
Online Full Text
... of risk measures: relevant and ...based risk measure that has more attractive properties than that of the unexpected loss measure for investigating the behaviour of the efficient ...optimal ...
6