Fat-tailed models for risk estimation

In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory.

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Year of publication:	2011
Authors:	Stoyanov, Stoyan V. ; Rachev, Svetlozar T. ; Racheva-Iotova, Boryana ; Fabozzi, Frank J.
Institutions:	Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie

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Extent:	application/pdf
Series:	Working Paper Series in Economics. - ISSN 2190-9806.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 30
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009024643