On the Measurement of Economic Tail Risk
From MaRDI portal
Publication:3178757
DOI10.1287/opre.2016.1539zbMath1378.91101arXiv1401.4787OpenAlexW3125526186MaRDI QIDQ3178757
Publication date: 20 December 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.4787
backtestrobustnessvalue-at-riskmodel uncertaintyexpected shortfallelicitabilitycomonotonic independence
Related Items
Dynamic quantile function models ⋮ Higher order elicitability and Osband's principle ⋮ Preface to the Special Issue on Systemic Risk: Models and Mechanisms ⋮ On the Measurement of Economic Tail Risk ⋮ How Superadditive Can a Risk Measure Be? ⋮ Optimal insurance design in the presence of exclusion clauses ⋮ Risk quantification and validation for Bitcoin ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Simulating risk measures via asymptotic expansions for relative errors ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles ⋮ Non-concave portfolio optimization with average value-at-risk ⋮ Risk Aversion in Regulatory Capital Principles ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Scenario-based risk evaluation ⋮ Inference for conditional value-at-risk of a predictive regression ⋮ Capturing deep tail risk via sequential learning of quantile dynamics ⋮ Joint generalized quantile and conditional tail expectation regression for insurance risk analysis ⋮ A Theory for Measures of Tail Risk ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Quantile-Based Risk Sharing ⋮ Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ Optimal payoff under the generalized dual theory of choice ⋮ Simulation-based Value-at-Risk for nonlinear portfolios ⋮ Regulatory arbitrage of risk measures ⋮ Elicitable distortion risk measures: a concise proof ⋮ Robustness in the Optimization of Risk Measures
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Making and Evaluating Point Forecasts
- Higher order elicitability and Osband's principle
- Fat tails, VaR and subadditivity
- Eliciting production possibilities from a well-informed manager
- Unintended consequences of the market risk requirement in banking regulation
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Evaluating probability forecasts
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Maxmin expected utility with non-unique prior
- Axiomatic characterization of insurance prices
- Convex measures of risk and trading constraints
- Elicitable distortion risk measures: a concise proof
- The role of the information set for forecasting -- with applications to risk management
- Coherent Measures of Risk
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Robust risk measurement and model risk
- OR Forum—Design of Risk Weights
- Proper Conditioning for Coherent VaR in Portfolio Management
- An Economic Index of Riskiness
- On the Measurement of Economic Tail Risk
- Risk Measures and Comonotonicity: A Review
- Robustness and sensitivity analysis of risk measurement procedures
- Portfolio diversification and value at risk under thick-tailedness†
- Subjective Probability and Expected Utility without Additivity
- Integral Representation Without Additivity
- A wealth-requirement axiomatization of riskiness
- On elicitable risk measures
- External Risk Measures and Basel Accords
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Evaluating Value-at-Risk Models via Quantile Regression
- ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Elicitation of Personal Probabilities and Expectations
- Analytical value-at-risk with jumps and credit risk
