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Fat-tailed models for risk estimation

  • Stoyanov, Stoyan V.
  • Rachev, Svetlozar T.
  • Racheva-Iotova, Boryana
  • Fabozzi, Frank J.

In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory.

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File URL: http://econstor.eu/bitstream/10419/45631/1/659400324.pdf
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Paper provided by Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering in its series Working Paper Series in Economics with number 30.

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Date of creation: 2011
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Handle: RePEc:zbw:kitwps:30
Contact details of provider: Web page: http://www.wiwi.kit.edu/

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  1. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  2. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
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