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.
Other Persons:	Rachev, Svetlozar (contributor) ; Racheva-Iotova, Boryana (contributor) ; Fabozzi, Frank J. (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Ausreißer \| Outliers \| Statistische Verteilung \| Statistical distribution \| Risikomaß \| Risk measure
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Portfolio Management, Vol. 37, No. 2, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 20, 2010 erstellt Volltext nicht verfügbar
Classification:	C16 - Specific Distributions ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013132046