Arbeitspapier
Fat-tailed models for risk estimation
In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory.
- Sprache
-
Englisch
- Erschienen in
-
Series: KIT Working Paper Series in Economics ; No. 30
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stoyanov, Stoyan V.
Rachev, Svetlozar T.
Racheva-Iotova, Boryana
Fabozzi, Frank J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
- (wo)
-
Karlsruhe
- (wann)
-
2011
- DOI
-
doi:10.5445/IR/1000023244
- Handle
- URN
-
urn:nbn:de:swb:90-232444
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Stoyanov, Stoyan V.
- Rachev, Svetlozar T.
- Racheva-Iotova, Boryana
- Fabozzi, Frank J.
- Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
Entstanden
- 2011
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