CVaR sensitivity with respect to tail thickness
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- Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
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More about this item
Keywordsfat-tailed distributions; regularly varying tails; conditional value-at-risk; marginal rebalancing; asymptotic variability;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-30 (All new papers)
- NEP-BAN-2011-05-30 (Banking)
- NEP-ECM-2011-05-30 (Econometrics)
- NEP-RMG-2011-05-30 (Risk Management)
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