Fat-tailed models for risk estimation
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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| Date of creation: | 2011 |
| Date of revision: | |
| Handle: | RePEc:zbw:kitwps:30 |
| Contact details of provider: | Web page: http://www.wiwi.kit.edu/ More information through EDIRC
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References listed on IDEAS
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- 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.
- Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
- 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.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
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