Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

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Year of publication:	2003
Authors:	FOCARDI, SERGIO M. ; FABOZZI, FRANK J.
Published in:	The Journal of Risk Finance. - MCB UP Ltd, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 5.2003, 1, p. 5-26
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb022976 [DOI]
Source:	Other ZBW resources

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