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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...
Persistent link: https://www.econbiz.de/10005021859
returns when modelling value-at-risk; (2) For high confidence levels, the fat tails of the distribution can best be modeled by … requirement is not discriminating enough to give banks proper incentives. …
Persistent link: https://www.econbiz.de/10005106724