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Comparing Downside Risk Measures for Heavy Tailed Distributions

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Author Info
Casper G. de Vries
Bjørn N. Jorgensen
Sarma Mandira
Jon Danielsson ()

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Abstract

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy tailed assets.

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Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp551.

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Date of creation: Nov 2005
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Handle: RePEc:fmg:fmgdps:dp551

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  1. Jesus Gonzalo & Jose Olmo, 2007. "The Impact of Heavy Tails and Comovements in Downside-Risk Diversification," City University Economics Discussion Papers 07/02, Department of Economics, City University, London. [Downloadable!]
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This page was last updated on 2009-7-1.

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