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19 Αυγ 2024 · Changes in the projections in this NPCC4 report include (1) the use of new emissions scenarios and GCMs, (2) updated historical baseline period and future time slices for projections, and (3) new methods for projections of quantitative extreme events and SLR.
1 Απρ 2024 · We divide the tail risk measures into four groups: option-implied (Group A), stock-return-based (Group B), option-return-based (Group C), and macroeconomic measures (Group D). The colors indicate the intensity of the tail risk measures prior to the events.
ascribe portfolio performance to tail risk exposures. There is thus a great need to identify good tail risk measures. We analyze a large set of 15 potential tail risk measures. Because...
We define tail risk as the probability of a (joint) exceedance of certain thresholds. The thresholds are defined by Value-at-Risk (VaR) which shows how much an investor is likely to lose with a given probability over a given horizon.
To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures which quantify the tail risk, that is, the behavior of a risk beyond a certain quantile. Such risk measures are referred to as tail risk measures in this paper.
The scope of the tail risks under consideration may range from specific—including financial risks, such as insolvency and credit default, and natural hazards, such as floods, hurricanes, and wildfires—to more general forms of tail risk.
16 Οκτ 2015 · We monitor the tail risk levels over time, for the period 1981 to 1992, and analyze predictive performances of the six probability models. In particular, we compute the next-year probability for a few upper tail events using the fitted models and compare them with the actual probabilities.
