regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk … events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management … relationship also gives rise to a robust and low-bias estimator of the tail index (TI) ξ of the size distribution, ξ = 1/η. We …

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … the multivariate vector of common factors. In this paper, we derive sharp tail asymptotics under two regimes: (i) a large …. Conversely, in the small default regime, we establish that the tail of the loss distribution is governed by systemic factors. We …

in the context of the long tail economy model. By comparing business results, analyse the significance of the impact of … the long tail economy on business performance. Methodology: The research is focused on analysing the business results of … the impact of long tail on business management, financial result and the trend in the number of users of the platform. The …

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and … distances of tail copulas. In this way, tail regions that cause differences in extreme dependence can be located and … approximation for finite samples. Moreover, we account for the multiplicity of the piecewise tail copula comparisons by adjusting …

tail dependence. Under such conditions the price required for generators to provide such hedges can be multiples of the … that, ceteris paribus, increasing the penetration of low carbon resources like wind, solar and energy storage, can add tail …