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.
- Language
-
Englisch
- Bibliographic citation
-
Series: KIT Working Paper Series in Economics ; No. 30
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Stoyanov, Stoyan V.
Rachev, Svetlozar T.
Racheva-Iotova, Boryana
Fabozzi, Frank J.
- Event
-
Veröffentlichung
- (who)
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Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
- (where)
-
Karlsruhe
- (when)
-
2011
- DOI
-
doi:10.5445/IR/1000023244
- Handle
- URN
-
urn:nbn:de:swb:90-232444
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Stoyanov, Stoyan V.
- Rachev, Svetlozar T.
- Racheva-Iotova, Boryana
- Fabozzi, Frank J.
- Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
Time of origin
- 2011
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