Fat tails, VaR and subadditivity
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Publication:528149
DOI10.1016/J.JECONOM.2012.08.011zbMATH Open1443.62343OpenAlexW2059308274MaRDI QIDQ528149FDOQ528149
Gennady Samorodnitsky, Casper G. de Vries, Bjørn N. Jorgensen, Mandira Sarma, J. Danielsson
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (21)
- On the Measurement of Economic Tail Risk
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- A parsimonious parametric model for generating margin requirements for futures
- Price equations with symmetric supply/demand; implications for fat tails
- A representation of risk measures
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- A new risk measure MMVaR: properties and empirical research
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
- Fat tails arise endogenously from supply/demand, with or without jump processes
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Minimizing oracle-structured composite functions
- Pro‐cyclicality beyond business cycle
- Eventual convexity of probability constraints with elliptical distributions
- Title not available (Why is that?)
- Minimum Rényi entropy portfolios
- A directional multivariate value at risk
- Risk Measures and Stochastic Orders Using Integrals of Distorted Quantile Functions
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- On multivariate extensions of the conditional value-at-risk measure
- Multi-modal tempered stable distributions and prosses with applications to finance
- Backtesting extreme value theory models of expected shortfall
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