On tail index estimation and financial risk management implications

MaRDI QIDQ5301756zbMATH OpenFDO

Authors Niklas Wagner

Publication date 20 January 2009

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Recommendations

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Cited in

(5)

• On the super-additivity and estimation biases of quantile contributions
• VaR is subject to a significant positive bias
• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• scientific article; zbMATH DE number 7366629 (Why is no real title available?)
• On tail trend detection: modeling relative risk

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