Risk measures and Pareto style tails

MaRDI QIDQ2888098zbMATH OpenFDO

Authors Anna Maria Fiori, Emanuela Rosazza Gianin

Publication date 30 May 2012

zbMATH Keywords

value at risktail indexconditional value at riskscaling rules

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The statistical analysis of risk measure in Pareto risk model
• Fat tails, VaR and subadditivity
• Stable modeling of value at risk
• Estimation of value at risk: extreme value and robust approaches
• Value at risk: Recent advances

Cited in

(9)

• Generalized Pareto processes and fund liquidity risk
• Calibrating Distribution Models from PELVE
• Generalized PELVE and applications to risk measures
• Star-Shaped Risk Measures
• Directional entropy and tail uncertainty, with applications to financial hazard
• On two estimates of a risk measure
• Comparing downside risk measures for heavy tailed distributions
• Kurtosis-based risk parity: methodology and portfolio effects
• The statistical analysis of risk measure in Pareto risk model

This page was built for publication: Risk measures and Pareto style tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2888098)