Tail risk - Capturing fat tails - Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. The authors discuss three approaches for capturing fat tails.
| Year of publication: |
2010
|
|---|---|
| Authors: | Rachev, Zari ; Racheva-Iotova, Boryana ; Stoyanov, Stoyan |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 5, p. 72-77
|