Measuring the tail risk: an asymptotic approach
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Publication:1746754
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Cites work
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Cited in
(20)- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Risk contagion under regular variation and asymptotic tail independence
- Nonparametric inference for distortion risk measures on tail regions
- Tail dependence and heavy tailedness in extreme risks
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- On tail trend detection: modeling relative risk
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- Extremes for a general contagion risk measure
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- Tail asymptotic of Weibull-type risks
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- Asymptotic results on tail moment for light-tailed risks
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- Extreme behaviors of the tail Gini-type variability measures
- Expressions for marginal mean excess and marginal expected shortfall measures under bivariate scale mixture of normal distribution
- Asymptotics for the conditional higher moment coherent risk measure with weak contagion
- Estimates for systemic risk measures in the presence of heavy tails
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