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Systematic tail risk
Oordt, Maarten van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …
Persistent link: https://www.econbiz.de/10011587888
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TERES: tail event risk expectile based shortfall
Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015
A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...
Persistent link: https://www.econbiz.de/10011349502
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Assessing Risk Assessment : Towards Alternative Risk Measures for Complex Financial Systems
Hoffmann, Christian Hugo - 2017
theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new … theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new …
Persistent link: https://www.econbiz.de/10012397671
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Assessing risk assessment : towards alternative risk measures for complex financial systems
Hoffmann, Christian Hugo - 2017
Persistent link: https://www.econbiz.de/10011736979
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Multivariate Modellierung operationeller Risiken in Kreditinstituten
Bayer, Verena - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009505637
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Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015
Persistent link: https://www.econbiz.de/10011302290
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Extreme events in finance : a handbook of extreme value theory and its applications
Longin, François M. (ed.) - 2017
"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the … theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market …"A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector …
Persistent link: https://www.econbiz.de/10011444872
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Modelling Mortality Risk with Extreme Value Theory
Lovasz, Enrico - 2011
Financial losses due to unanticipated movements of mortality rates (either catastrophic mortality risk or longevity risk) have become a major concern for pension annuities. To transfer these risks to the capital market, a new risk management tool - mortality-linked securities - has been...
Persistent link: https://www.econbiz.de/10013125454
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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …
Persistent link: https://www.econbiz.de/10013100621