Fat tails, VaR and subadditivity

DOI10.1016/j.jeconom.2012.08.011zbMath1443.62343OpenAlexW2059308274MaRDI QIDQ528149

Gennady Samorodnitsky, Casper G. de Vries, Bjørn N. Jorgensen, Mandira Sarma, Jón Daníelsson

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001959

zbMATH Keywords

value-at-risksubadditivityextreme value estimationfat tailed distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (19)

A representation of risk measures ⋮ Fat tails arise endogenously from supply/demand, with or without jump processes ⋮ On the Measurement of Economic Tail Risk ⋮ Sensitivity of portfolio VaR and CVaR to portfolio return characteristics ⋮ Multi-modal tempered stable distributions and prosses with applications to finance ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ Solvency II solvency capital requirement for life insurance companies based on expected shortfall ⋮ A directional multivariate value at risk ⋮ Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence ⋮ Minimizing oracle-structured composite functions ⋮ Unnamed Item ⋮ Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization ⋮ Price equations with symmetric supply/demand; implications for fat tails ⋮ Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? ⋮ Minimum Rényi entropy portfolios ⋮ Risk Measures and Stochastic Orders Using Integrals of Distorted Quantile Functions ⋮ A parsimonious parametric model for generating margin requirements for futures ⋮ Backtesting extreme value theory models of expected shortfall ⋮ On multivariate extensions of the conditional value-at-risk measure

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