Fat-tailed models for risk estimation

by Stoyan V. Stoyanov ...

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. ; Račev, Svetlozar T. ; Racheva-Iotova, Boryana ; Fabozzi, Frank J.
Publisher:	Karlsruhe : KIT [u.a.]
Subject:	Risikomaß \| Risk measure \| Statistische Verteilung \| Statistical distribution \| Ausreißer \| Outliers \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 22 S., 1,27 MB) graph. Darst.
Series:	Working paper series in economics. - Karlsruhe : [Verlag nicht ermittelbar], ISSN 2190-9806, ZDB-ID 2573087-3. - Vol. 30
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Parallel als Druckausg. erschienen Systemvoraussetzung: Acrobat Reader
Other identifiers:	hdl:10419/45631 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009010140