Search Results - subject:"Tail Risk"

Cañon, Carlos; Gerba, Eddie; Pambira, Alberto; Stoja, … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

Persistent link: https://www.econbiz.de/10014377603

An unconventional fx tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

Persistent link: https://www.econbiz.de/10014433563

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

Persistent link: https://www.econbiz.de/10014439419

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

Persistent link: https://www.econbiz.de/10014336426

Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://www.econbiz.de/10015324099