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The partial attributable risk has been introduced as a tool for partitioning the responsibility for causing an adverse … event between various risk factors. It has arisen from epidemiology but is also a valid general risk allocation concept … attributable risk has been missing so that confidence intervals were not directly available. This paper provides the asymptotic …
Persistent link: https://www.econbiz.de/10012918150
, we estimate the tail risk of 'ground up' Norwegian fire claims using the value-at-risk and tail-conditional median … measures. We monitor the tail risk levels over time, for the period 1981 to 1992, and analyze predictive performances of the …
Persistent link: https://www.econbiz.de/10012904293
In this paper, we propose a novel parametric approach to extract the implied risk-neutral density function from a cross … show that well-behaved risk neutral densities can be generated by imposing restrictions on the parameters of the model. The … results of our numerical experiments demonstrate that the method is capable of extracting risk neutral densities with complex …
Persistent link: https://www.econbiz.de/10012905353
I develop a model of statistical arbitrage trading in an environment with "fat-tailed" information. If risk … choose to ignore a wide range of pricing errors. Although model risk hinders their willingness to trade, arbitrageurs can …
Persistent link: https://www.econbiz.de/10012907804
This paper investigates the performance of different parametric models, stable and tempered stable distributions, for capturing the tail behaviour of the log-returns. We first define and discuss the properties of the stable and tempered stable random variables. We then show how to estimate their...
Persistent link: https://www.econbiz.de/10012908812
play a role on both the overall volatility and the overall skewness of the final risk distribution. But, usually, these … elements are not discussed in detail. As volatility and skewness are the main determinants of the risk measure (Value at Risk … different choices of calibration of the aggregation tree on both volatility and skewness of the overall risk distribution …
Persistent link: https://www.econbiz.de/10012888951
-sloping term structure of skewness risk and upward-sloping term structure of kurtosis risk, moreover the term structures connected … to market skewness risk and average idiosyncratic skewness risk exhibit different dymanics …
Persistent link: https://www.econbiz.de/10013234430
distributions by deriving the closed-form expressions for the Conditional Value at Risk, a risk measure that is closely related to …
Persistent link: https://www.econbiz.de/10013240438
. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk … neutral and risk averse. For Value-at-Risk, we show that the optimal solution does not change with the type of decision maker …. However, this observation is not true for Conditional-Value-at-Risk. We then show for Conditional-Value-at-Risk that the …
Persistent link: https://www.econbiz.de/10014026080
Persistent link: https://www.econbiz.de/10013530990