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You searched for subject:(Tail risk). Showing records 1 – 30 of 47 total matches.

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1. Iversen, Pierre Rinaldo. A Case Study on Long-tail Risks and Risk Mitigation in Risk Management : How can AGCS make best use of risk mitigation measures for drafting product liability policy wordings?.

Degree: Business Administration, 2018, Umeå University

  A Case Study on Long-tail Risks and Risk Mitigation in Risk Management.   How can Allianz Global Corporate and Specialty (AGCS) make best use of… (more)

Subjects/Keywords: Insurance; Risk Management; Long-tail Risk; Policy Wording; Business Administration; Företagsekonomi

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Iversen, P. R. (2018). A Case Study on Long-tail Risks and Risk Mitigation in Risk Management : How can AGCS make best use of risk mitigation measures for drafting product liability policy wordings?. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150522

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Iversen, Pierre Rinaldo. “A Case Study on Long-tail Risks and Risk Mitigation in Risk Management : How can AGCS make best use of risk mitigation measures for drafting product liability policy wordings?.” 2018. Thesis, Umeå University. Accessed January 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150522.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Iversen, Pierre Rinaldo. “A Case Study on Long-tail Risks and Risk Mitigation in Risk Management : How can AGCS make best use of risk mitigation measures for drafting product liability policy wordings?.” 2018. Web. 28 Jan 2020.

Vancouver:

Iversen PR. A Case Study on Long-tail Risks and Risk Mitigation in Risk Management : How can AGCS make best use of risk mitigation measures for drafting product liability policy wordings?. [Internet] [Thesis]. Umeå University; 2018. [cited 2020 Jan 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150522.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Iversen PR. A Case Study on Long-tail Risks and Risk Mitigation in Risk Management : How can AGCS make best use of risk mitigation measures for drafting product liability policy wordings?. [Thesis]. Umeå University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150522

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Exeter

2. Nguyen, Linh Hoang. Extreme downside risk : implications for asset pricing and portfolio management.

Degree: PhD, 2015, University of Exeter

 This thesis investigates different aspects of the impact of extreme downside risk on stock returns. We first investigate the impact at market level, where the… (more)

Subjects/Keywords: 658; Risk management; Asset pricing; Financial crisis; Portfolio management; Extreme downside risk; Tail risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Nguyen, L. H. (2015). Extreme downside risk : implications for asset pricing and portfolio management. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10871/18485

Chicago Manual of Style (16th Edition):

Nguyen, Linh Hoang. “Extreme downside risk : implications for asset pricing and portfolio management.” 2015. Doctoral Dissertation, University of Exeter. Accessed January 28, 2020. http://hdl.handle.net/10871/18485.

MLA Handbook (7th Edition):

Nguyen, Linh Hoang. “Extreme downside risk : implications for asset pricing and portfolio management.” 2015. Web. 28 Jan 2020.

Vancouver:

Nguyen LH. Extreme downside risk : implications for asset pricing and portfolio management. [Internet] [Doctoral dissertation]. University of Exeter; 2015. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/10871/18485.

Council of Science Editors:

Nguyen LH. Extreme downside risk : implications for asset pricing and portfolio management. [Doctoral Dissertation]. University of Exeter; 2015. Available from: http://hdl.handle.net/10871/18485


Université Catholique de Louvain

3. Loustaunau, Romain. Volatility as a Hedging Framework : Portfolio Analysis.

Degree: 2015, Université Catholique de Louvain

Volatility appears to be asymmetric to equities. We consider volatility as an asset and examine its benefits when allocated to a portfolio. The portfolio optimization… (more)

Subjects/Keywords: volatility hedging; VIX index; portfolio optimization; tail hedge risk

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APA (6th Edition):

Loustaunau, R. (2015). Volatility as a Hedging Framework : Portfolio Analysis. (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/thesis:2719

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Loustaunau, Romain. “Volatility as a Hedging Framework : Portfolio Analysis.” 2015. Thesis, Université Catholique de Louvain. Accessed January 28, 2020. http://hdl.handle.net/2078.1/thesis:2719.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Loustaunau, Romain. “Volatility as a Hedging Framework : Portfolio Analysis.” 2015. Web. 28 Jan 2020.

Vancouver:

Loustaunau R. Volatility as a Hedging Framework : Portfolio Analysis. [Internet] [Thesis]. Université Catholique de Louvain; 2015. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/2078.1/thesis:2719.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Loustaunau R. Volatility as a Hedging Framework : Portfolio Analysis. [Thesis]. Université Catholique de Louvain; 2015. Available from: http://hdl.handle.net/2078.1/thesis:2719

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Purdue University

4. Wang, Yanchu. Tail risk in international markets.

Degree: PhD, Management, 2016, Purdue University

Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests… (more)

Subjects/Keywords: Social sciences; Asset pricing; International markets; Tail risk; Finance

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wang, Y. (2016). Tail risk in international markets. (Doctoral Dissertation). Purdue University. Retrieved from https://docs.lib.purdue.edu/open_access_dissertations/878

Chicago Manual of Style (16th Edition):

Wang, Yanchu. “Tail risk in international markets.” 2016. Doctoral Dissertation, Purdue University. Accessed January 28, 2020. https://docs.lib.purdue.edu/open_access_dissertations/878.

MLA Handbook (7th Edition):

Wang, Yanchu. “Tail risk in international markets.” 2016. Web. 28 Jan 2020.

Vancouver:

Wang Y. Tail risk in international markets. [Internet] [Doctoral dissertation]. Purdue University; 2016. [cited 2020 Jan 28]. Available from: https://docs.lib.purdue.edu/open_access_dissertations/878.

Council of Science Editors:

Wang Y. Tail risk in international markets. [Doctoral Dissertation]. Purdue University; 2016. Available from: https://docs.lib.purdue.edu/open_access_dissertations/878


University of Sydney

5. Cui, Wei. Tail Risk in Funds of Hedge Funds .

Degree: 2016, University of Sydney

 Funds of hedge funds (FOFs) are portfolios of investment in hedge funds. Marketed to retail investors who are otherwise unable to access hedge fund investments,… (more)

Subjects/Keywords: Fund of hedge funds; hedge funds; tail risk; factor model

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APA (6th Edition):

Cui, W. (2016). Tail Risk in Funds of Hedge Funds . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/17118

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Cui, Wei. “Tail Risk in Funds of Hedge Funds .” 2016. Thesis, University of Sydney. Accessed January 28, 2020. http://hdl.handle.net/2123/17118.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Cui, Wei. “Tail Risk in Funds of Hedge Funds .” 2016. Web. 28 Jan 2020.

Vancouver:

Cui W. Tail Risk in Funds of Hedge Funds . [Internet] [Thesis]. University of Sydney; 2016. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/2123/17118.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Cui W. Tail Risk in Funds of Hedge Funds . [Thesis]. University of Sydney; 2016. Available from: http://hdl.handle.net/2123/17118

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Ottawa

6. Loukrati, Hicham. Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures .

Degree: 2018, University of Ottawa

 Au cours des dernières années, des changements importants dans le domaine des assurances et des finances attirent de plus en plus l’attention sur la nécessité… (more)

Subjects/Keywords: Extremes; Conditional tail expectation; Regularly varying tail; Hill estimator; Bootstrap; Harmonic moment estimators; T-Hill estimator; Value-at-Risk; Tail empirical distribution function

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APA (6th Edition):

Loukrati, H. (2018). Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures . (Thesis). University of Ottawa. Retrieved from http://hdl.handle.net/10393/37594

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Loukrati, Hicham. “Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures .” 2018. Thesis, University of Ottawa. Accessed January 28, 2020. http://hdl.handle.net/10393/37594.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Loukrati, Hicham. “Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures .” 2018. Web. 28 Jan 2020.

Vancouver:

Loukrati H. Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures . [Internet] [Thesis]. University of Ottawa; 2018. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/10393/37594.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Loukrati H. Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures . [Thesis]. University of Ottawa; 2018. Available from: http://hdl.handle.net/10393/37594

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

7. Marques, Áurea Ponte. Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios.

Degree: 2010, RCAAP

JEL classification: G01, G21, G24, G28, G32, G33

The assessment of risk is an important and complex task with which market regulators and financial institutions… (more)

Subjects/Keywords: Value at risk; Expected tail loss; Extreme Value Theory; Generalized pareto distribution; Basel II

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APA (6th Edition):

Marques, . P. (2010). Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/1832

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Marques, Áurea Ponte. “Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios.” 2010. Thesis, RCAAP. Accessed January 28, 2020. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/1832.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Marques, Áurea Ponte. “Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios.” 2010. Web. 28 Jan 2020.

Vancouver:

Marques P. Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios. [Internet] [Thesis]. RCAAP; 2010. [cited 2020 Jan 28]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/1832.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Marques P. Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios. [Thesis]. RCAAP; 2010. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/1832

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Sydney

8. Wang, Chao. Bayesian parametric and semi-parametric financial tail-risk forecasting incorporating range and realized measures .

Degree: 2015, University of Sydney

 Now we are in a world saturated with data and information, and numerous quantitative methods for financial risk management are proposed and used by many… (more)

Subjects/Keywords: Bayesian; Realized Range; Realized GARCH; Realized CARE; Signed Range; Financial Tail Risk Forecasting

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APA (6th Edition):

Wang, C. (2015). Bayesian parametric and semi-parametric financial tail-risk forecasting incorporating range and realized measures . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/14646

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wang, Chao. “Bayesian parametric and semi-parametric financial tail-risk forecasting incorporating range and realized measures .” 2015. Thesis, University of Sydney. Accessed January 28, 2020. http://hdl.handle.net/2123/14646.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wang, Chao. “Bayesian parametric and semi-parametric financial tail-risk forecasting incorporating range and realized measures .” 2015. Web. 28 Jan 2020.

Vancouver:

Wang C. Bayesian parametric and semi-parametric financial tail-risk forecasting incorporating range and realized measures . [Internet] [Thesis]. University of Sydney; 2015. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/2123/14646.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang C. Bayesian parametric and semi-parametric financial tail-risk forecasting incorporating range and realized measures . [Thesis]. University of Sydney; 2015. Available from: http://hdl.handle.net/2123/14646

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Technical University of Lisbon

9. Kazzi, Rodrigue. Risk bounds for unimodal distributions under partial information.

Degree: 2018, Technical University of Lisbon

Mestrado em Actuarial Science

Neste documento, começamos por estudar os limites superiores para Value-at-Risk, Tail-Value-at-Risk e Range-Value-at-Risk de distribuições unimodais quando apenas os limites superiores… (more)

Subjects/Keywords: Risco do modelo; Value-at-Risk; Tail-Value-at-Risk; Range-Value-at-Risk; Ordenação convexa; Distribuições Unimodais; Limites de Risco; Model risk; Convex ordering; Unimodal distributions; Risk bounds

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APA (6th Edition):

Kazzi, R. (2018). Risk bounds for unimodal distributions under partial information. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/15817

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kazzi, Rodrigue. “Risk bounds for unimodal distributions under partial information.” 2018. Thesis, Technical University of Lisbon. Accessed January 28, 2020. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/15817.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kazzi, Rodrigue. “Risk bounds for unimodal distributions under partial information.” 2018. Web. 28 Jan 2020.

Vancouver:

Kazzi R. Risk bounds for unimodal distributions under partial information. [Internet] [Thesis]. Technical University of Lisbon; 2018. [cited 2020 Jan 28]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/15817.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kazzi R. Risk bounds for unimodal distributions under partial information. [Thesis]. Technical University of Lisbon; 2018. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/15817

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Université Catholique de Louvain

10. Tassa, Habiba. Solvabilité des plans de pension : impact des engagements de long terme sur la solvabilité des plans " defined contributions " et " defined benefits ".

Degree: 2016, Université Catholique de Louvain

En Europe, chaque organisme de pension, qu’il soit une assurance groupe ou un fonds de pension, est soumis à une série de mesures dites «… (more)

Subjects/Keywords: Prestations définies; Probabilité de défaut; Tail value at risk; Contributions définies; Capital de solvabilité; Value at risk

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APA (6th Edition):

Tassa, H. (2016). Solvabilité des plans de pension : impact des engagements de long terme sur la solvabilité des plans " defined contributions " et " defined benefits ". (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/183689

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Tassa, Habiba. “Solvabilité des plans de pension : impact des engagements de long terme sur la solvabilité des plans " defined contributions " et " defined benefits ".” 2016. Thesis, Université Catholique de Louvain. Accessed January 28, 2020. http://hdl.handle.net/2078.1/183689.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Tassa, Habiba. “Solvabilité des plans de pension : impact des engagements de long terme sur la solvabilité des plans " defined contributions " et " defined benefits ".” 2016. Web. 28 Jan 2020.

Vancouver:

Tassa H. Solvabilité des plans de pension : impact des engagements de long terme sur la solvabilité des plans " defined contributions " et " defined benefits ". [Internet] [Thesis]. Université Catholique de Louvain; 2016. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/2078.1/183689.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tassa H. Solvabilité des plans de pension : impact des engagements de long terme sur la solvabilité des plans " defined contributions " et " defined benefits ". [Thesis]. Université Catholique de Louvain; 2016. Available from: http://hdl.handle.net/2078.1/183689

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Edith Cowan University

11. Singh, Abhay Kumar. Modelling Extreme Market Risk - A Study of Tail Related Risk Measures.

Degree: 2011, Edith Cowan University

 Market risk modelling is one of the most dynamic domains in finance. Risk is the uncertainty that affects the values of assets in the system… (more)

Subjects/Keywords: Value at Risk; Quantile Regression; Expected Shortfall; Return Level; Extreme Value Theory; Extremal Dependence; Tail Risk.; Finance and Financial Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Singh, A. K. (2011). Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. (Thesis). Edith Cowan University. Retrieved from https://ro.ecu.edu.au/theses/417

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Singh, Abhay Kumar. “Modelling Extreme Market Risk - A Study of Tail Related Risk Measures.” 2011. Thesis, Edith Cowan University. Accessed January 28, 2020. https://ro.ecu.edu.au/theses/417.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Singh, Abhay Kumar. “Modelling Extreme Market Risk - A Study of Tail Related Risk Measures.” 2011. Web. 28 Jan 2020.

Vancouver:

Singh AK. Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. [Internet] [Thesis]. Edith Cowan University; 2011. [cited 2020 Jan 28]. Available from: https://ro.ecu.edu.au/theses/417.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Singh AK. Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. [Thesis]. Edith Cowan University; 2011. Available from: https://ro.ecu.edu.au/theses/417

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

12. Li, Jingrui. Empirical Asset Pricing with Equity Tail Risk.

Degree: PhD, Finance, 2019, West Virginia University

  This dissertation comprises three separate chapters on both risk-neutral and physical probability spaced equity tail risk for both the market index and in the… (more)

Subjects/Keywords: VIX; Tail Risk; Risk Premium; Return Prediction; Cross-Section of Stock Returns; Return Prediction; Finance and Financial Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Li, J. (2019). Empirical Asset Pricing with Equity Tail Risk. (Doctoral Dissertation). West Virginia University. Retrieved from https://researchrepository.wvu.edu/etd/4123

Chicago Manual of Style (16th Edition):

Li, Jingrui. “Empirical Asset Pricing with Equity Tail Risk.” 2019. Doctoral Dissertation, West Virginia University. Accessed January 28, 2020. https://researchrepository.wvu.edu/etd/4123.

MLA Handbook (7th Edition):

Li, Jingrui. “Empirical Asset Pricing with Equity Tail Risk.” 2019. Web. 28 Jan 2020.

Vancouver:

Li J. Empirical Asset Pricing with Equity Tail Risk. [Internet] [Doctoral dissertation]. West Virginia University; 2019. [cited 2020 Jan 28]. Available from: https://researchrepository.wvu.edu/etd/4123.

Council of Science Editors:

Li J. Empirical Asset Pricing with Equity Tail Risk. [Doctoral Dissertation]. West Virginia University; 2019. Available from: https://researchrepository.wvu.edu/etd/4123


Queensland University of Technology

13. Basu, Anup K. Essays on asset allocation strategies for defined contribution plans.

Degree: 2008, Queensland University of Technology

 Asset allocation is the most influential factor driving investment performance. While researchers have made substantial progress in the field of asset allocation since the introduction… (more)

Subjects/Keywords: asset allocation, bootstrap resampling, defined contribution (DC) plan, downside risk, dynamic lifecycle strategy, expected tail loss (ETL), lifecycle fund, lower partial moment (LPM), monte carlo simulation (MCS), stochastic dominance (SD); tail risk, terminal wealth, value at risk (VaR)

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APA (6th Edition):

Basu, A. K. (2008). Essays on asset allocation strategies for defined contribution plans. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/16992/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Basu, Anup K. “Essays on asset allocation strategies for defined contribution plans.” 2008. Thesis, Queensland University of Technology. Accessed January 28, 2020. https://eprints.qut.edu.au/16992/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Basu, Anup K. “Essays on asset allocation strategies for defined contribution plans.” 2008. Web. 28 Jan 2020.

Vancouver:

Basu AK. Essays on asset allocation strategies for defined contribution plans. [Internet] [Thesis]. Queensland University of Technology; 2008. [cited 2020 Jan 28]. Available from: https://eprints.qut.edu.au/16992/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Basu AK. Essays on asset allocation strategies for defined contribution plans. [Thesis]. Queensland University of Technology; 2008. Available from: https://eprints.qut.edu.au/16992/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


NSYSU

14. Huang, Guo-lun. Tail Risk Trading Strategy Using Volatility-of-volatility Index.

Degree: Master, Finance, 2018, NSYSU

 The purpose of this paper is to use a new model-free measure to proxy for tail risk and exploit option induced order imbalance (OOIB) to… (more)

Subjects/Keywords: Order Imbalance; Market Maker Delta Hedge; VVIX index; Volatility-of-volatility; Tail Risk; Lee and Ready Classification Algorithm; Market Microstructure

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Huang, G. (2018). Tail Risk Trading Strategy Using Volatility-of-volatility Index. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Huang, Guo-lun. “Tail Risk Trading Strategy Using Volatility-of-volatility Index.” 2018. Thesis, NSYSU. Accessed January 28, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Huang, Guo-lun. “Tail Risk Trading Strategy Using Volatility-of-volatility Index.” 2018. Web. 28 Jan 2020.

Vancouver:

Huang G. Tail Risk Trading Strategy Using Volatility-of-volatility Index. [Internet] [Thesis]. NSYSU; 2018. [cited 2020 Jan 28]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Huang G. Tail Risk Trading Strategy Using Volatility-of-volatility Index. [Thesis]. NSYSU; 2018. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade Nova

15. Maruhashi, Jin. Tail index estimation.

Degree: 2017, Universidade Nova

 This study peruses the leptokurtic evolution of regional banking indices belonging to the Americas, Asia, Australasia and Europe from 1973-2016 as measured by the tail(more)

Subjects/Keywords: Hill statistic; Rank-size statistic; Value-at-risk; Tail index estimation; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA (6th Edition):

Maruhashi, J. (2017). Tail index estimation. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Maruhashi, Jin. “Tail index estimation.” 2017. Thesis, Universidade Nova. Accessed January 28, 2020. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Maruhashi, Jin. “Tail index estimation.” 2017. Web. 28 Jan 2020.

Vancouver:

Maruhashi J. Tail index estimation. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2020 Jan 28]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Maruhashi J. Tail index estimation. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

16. Banerjee, Arnab. Why do Low R2 Hedge Funds have Low R2? An Empirical Study of the Performance and Risk of Low R2 Funds.

Degree: Executive Doctorate in Business (EDB), Business, 2018, Georgia State University

  In this study, I examine whether low R2 funds are exposed to higher equity systematic tail risk that is not accounted for in the… (more)

Subjects/Keywords: Hedge Funds; Correlation; Factor Models; Tail Risk

…13 III RELATIONSHIP BETWEEN R-SQUARE AND TAIL RISK… …16 III.1 Univariate Sort: R-square and Tail risk… …systematic tail risk that is not accounted for in the existing multi-factor models used to evaluate… …hedge funds. With a parsimonious set of risk factors that includes systematic tail risk, I… …systematic tail risk factor. I also show that 90% of the decrease in future performance spread is… 

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APA (6th Edition):

Banerjee, A. (2018). Why do Low R2 Hedge Funds have Low R2? An Empirical Study of the Performance and Risk of Low R2 Funds. (Thesis). Georgia State University. Retrieved from https://scholarworks.gsu.edu/bus_admin_diss/90

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Banerjee, Arnab. “Why do Low R2 Hedge Funds have Low R2? An Empirical Study of the Performance and Risk of Low R2 Funds.” 2018. Thesis, Georgia State University. Accessed January 28, 2020. https://scholarworks.gsu.edu/bus_admin_diss/90.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Banerjee, Arnab. “Why do Low R2 Hedge Funds have Low R2? An Empirical Study of the Performance and Risk of Low R2 Funds.” 2018. Web. 28 Jan 2020.

Vancouver:

Banerjee A. Why do Low R2 Hedge Funds have Low R2? An Empirical Study of the Performance and Risk of Low R2 Funds. [Internet] [Thesis]. Georgia State University; 2018. [cited 2020 Jan 28]. Available from: https://scholarworks.gsu.edu/bus_admin_diss/90.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Banerjee A. Why do Low R2 Hedge Funds have Low R2? An Empirical Study of the Performance and Risk of Low R2 Funds. [Thesis]. Georgia State University; 2018. Available from: https://scholarworks.gsu.edu/bus_admin_diss/90

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Sydney

17. Chen, Qian. Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations .

Degree: 2011, University of Sydney

 Forecasting financial risk and risk measurement methods have been of increasing interest for financial market regulators and financial institutions in the past two decades. While… (more)

Subjects/Keywords: Bayesian method; Value-at-Risk; expected shortfall; asymmetric Laplace; two-sided Weibull; partitioned distribution; backtesting; Markov chain Monte Carlo; mixture of Gaussian; financial crisis; risk measurement; conditional tail expectation

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APA (6th Edition):

Chen, Q. (2011). Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/7863

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chen, Qian. “Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations .” 2011. Thesis, University of Sydney. Accessed January 28, 2020. http://hdl.handle.net/2123/7863.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chen, Qian. “Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations .” 2011. Web. 28 Jan 2020.

Vancouver:

Chen Q. Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations . [Internet] [Thesis]. University of Sydney; 2011. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/2123/7863.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chen Q. Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations . [Thesis]. University of Sydney; 2011. Available from: http://hdl.handle.net/2123/7863

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Waterloo

18. wang ying. Risk Measures and Capital Allocation Principles for Risk Management.

Degree: 2016, University of Waterloo

Risk measures (or premium principles) and capital allocation principles play a signi cant role in risk management. Regulators and companies in the nancial markets usually… (more)

Subjects/Keywords: risk measure; capital allocation principle; weighted quantiles; tail sub-additive; distortion risk measure; weighted VaR; weighted expectiles; capital deficit risk; capital surplus risk; add on and off; optimal reinsurance; reinsurance premium

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APA (6th Edition):

ying, w. (2016). Risk Measures and Capital Allocation Principles for Risk Management. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/10883

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

ying, wang. “Risk Measures and Capital Allocation Principles for Risk Management.” 2016. Thesis, University of Waterloo. Accessed January 28, 2020. http://hdl.handle.net/10012/10883.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

ying, wang. “Risk Measures and Capital Allocation Principles for Risk Management.” 2016. Web. 28 Jan 2020.

Vancouver:

ying w. Risk Measures and Capital Allocation Principles for Risk Management. [Internet] [Thesis]. University of Waterloo; 2016. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/10012/10883.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

ying w. Risk Measures and Capital Allocation Principles for Risk Management. [Thesis]. University of Waterloo; 2016. Available from: http://hdl.handle.net/10012/10883

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade de Brasília

19. Simone Vasconcelos da Silva. Comportamento assintótico da probabilidade de ruína em modelos de risco de renovação sob variação consistente.

Degree: 2009, Universidade de Brasília

Neste trabalho estudamos o comportamento caudal da distribuição da soma de um número aleatório de variáveis aleatórias, sob a hipótese de que as variáveis envolvidas… (more)

Subjects/Keywords: soma aleatória; random sum; modelo de risco de renovação; probabilidade de ruína; MATEMATICA; heavy tail; consistent variation; renewal risk model; cauda pesada; variação consistente; ruin probability

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APA (6th Edition):

Silva, S. V. d. (2009). Comportamento assintótico da probabilidade de ruína em modelos de risco de renovação sob variação consistente. (Thesis). Universidade de Brasília. Retrieved from http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=5494

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Silva, Simone Vasconcelos da. “Comportamento assintótico da probabilidade de ruína em modelos de risco de renovação sob variação consistente.” 2009. Thesis, Universidade de Brasília. Accessed January 28, 2020. http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=5494.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Silva, Simone Vasconcelos da. “Comportamento assintótico da probabilidade de ruína em modelos de risco de renovação sob variação consistente.” 2009. Web. 28 Jan 2020.

Vancouver:

Silva SVd. Comportamento assintótico da probabilidade de ruína em modelos de risco de renovação sob variação consistente. [Internet] [Thesis]. Universidade de Brasília; 2009. [cited 2020 Jan 28]. Available from: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=5494.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Silva SVd. Comportamento assintótico da probabilidade de ruína em modelos de risco de renovação sob variação consistente. [Thesis]. Universidade de Brasília; 2009. Available from: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=5494

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


NSYSU

20. Li, Ling-Fung. Computing VaR via Nonlinear AR model with heavy tailed innovations.

Degree: Master, Applied Mathematics, 2001, NSYSU

 Many financial time series show heavy tail behavior. Such tail characteristic is important for risk management. In this research, we focus on the calculation of… (more)

Subjects/Keywords: Heavy Tail distribution; stable distribution; Value at Risk; Threshold AR model

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APA (6th Edition):

Li, L. (2001). Computing VaR via Nonlinear AR model with heavy tailed innovations. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0628101-134615

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Li, Ling-Fung. “Computing VaR via Nonlinear AR model with heavy tailed innovations.” 2001. Thesis, NSYSU. Accessed January 28, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0628101-134615.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Li, Ling-Fung. “Computing VaR via Nonlinear AR model with heavy tailed innovations.” 2001. Web. 28 Jan 2020.

Vancouver:

Li L. Computing VaR via Nonlinear AR model with heavy tailed innovations. [Internet] [Thesis]. NSYSU; 2001. [cited 2020 Jan 28]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0628101-134615.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li L. Computing VaR via Nonlinear AR model with heavy tailed innovations. [Thesis]. NSYSU; 2001. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0628101-134615

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade Nova

21. Neumann, Christian. Time and cross-sectional differences in the tail behavior of Euro interest rate future returns.

Degree: 2017, Universidade Nova

 As response to the financial crisis in 2007/08 and the European sovereign debt crisis, the ECB started to conduct expansionary monetary policy on an unprecedented… (more)

Subjects/Keywords: Extreme value theory; Tail index estimation; Optimal extreme sample fraction; Structural change test; Government bond futures; Market risk management; Monetary policy; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA (6th Edition):

Neumann, C. (2017). Time and cross-sectional differences in the tail behavior of Euro interest rate future returns. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Neumann, Christian. “Time and cross-sectional differences in the tail behavior of Euro interest rate future returns.” 2017. Thesis, Universidade Nova. Accessed January 28, 2020. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Neumann, Christian. “Time and cross-sectional differences in the tail behavior of Euro interest rate future returns.” 2017. Web. 28 Jan 2020.

Vancouver:

Neumann C. Time and cross-sectional differences in the tail behavior of Euro interest rate future returns. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2020 Jan 28]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Neumann C. Time and cross-sectional differences in the tail behavior of Euro interest rate future returns. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

22. Yang, Fan. Hurricane Loss Modeling and Extreme Quantile Estimation.

Degree: MS, Statistics, 2012, Florida International University

  This thesis reviewed various heavy tailed distributions and Extreme Value Theory (EVT) to estimate the catastrophic losses simulated from Florida Public Hurricane Loss Projection… (more)

Subjects/Keywords: Catastrophe modeling; Risk measure; GPD; Extreme Value Theory; Tail distribution

…VaR (Value-at-Risk) and TVaR (Tail Value-at-Risk) for quantifying losses… …quantify risk exposure. The inferences from a fitted heavy-tailed model are usually made by tail… …based risk measures such as extreme quantiles and mean tail loss. They are usually accompanied… …2008). As a coherent measure, Tail-Value-at-Risk (TVaR, also referred to as CVaR… …method among other heavy-tailed distributions to estimate the tail-based risk measures. 4.2… 

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APA (6th Edition):

Yang, F. (2012). Hurricane Loss Modeling and Extreme Quantile Estimation. (Thesis). Florida International University. Retrieved from https://digitalcommons.fiu.edu/etd/557 ; 10.25148/etd.FI12041106 ; FI12041106

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Yang, Fan. “Hurricane Loss Modeling and Extreme Quantile Estimation.” 2012. Thesis, Florida International University. Accessed January 28, 2020. https://digitalcommons.fiu.edu/etd/557 ; 10.25148/etd.FI12041106 ; FI12041106.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Yang, Fan. “Hurricane Loss Modeling and Extreme Quantile Estimation.” 2012. Web. 28 Jan 2020.

Vancouver:

Yang F. Hurricane Loss Modeling and Extreme Quantile Estimation. [Internet] [Thesis]. Florida International University; 2012. [cited 2020 Jan 28]. Available from: https://digitalcommons.fiu.edu/etd/557 ; 10.25148/etd.FI12041106 ; FI12041106.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang F. Hurricane Loss Modeling and Extreme Quantile Estimation. [Thesis]. Florida International University; 2012. Available from: https://digitalcommons.fiu.edu/etd/557 ; 10.25148/etd.FI12041106 ; FI12041106

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Manitoba

23. Huang, Xinxin. Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models.

Degree: Agribusiness and Agricultural Economics, 2014, University of Manitoba

 Value at Risk (VaR) and Expected Shortfall (ES) are methods often used to measure market risk. Inaccurate and unreliable Value at Risk and Expected Shortfall… (more)

Subjects/Keywords: Risk Management; Volatility Estimate; Value at Risk; GARCH; ARMA; General Error Distribution (GED); ARMA(1,1)-GJR-GARCH(1,1)-SGED; Extreme Value Theory (EVT); General Pareto Distribution (GPD); Expected Shortfall (ES); Conditional Tail Expectation (CTE); Conditional Value at Risk (CVaR)

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APA (6th Edition):

Huang, X. (2014). Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models. (Masters Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/23875

Chicago Manual of Style (16th Edition):

Huang, Xinxin. “Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models.” 2014. Masters Thesis, University of Manitoba. Accessed January 28, 2020. http://hdl.handle.net/1993/23875.

MLA Handbook (7th Edition):

Huang, Xinxin. “Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models.” 2014. Web. 28 Jan 2020.

Vancouver:

Huang X. Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models. [Internet] [Masters thesis]. University of Manitoba; 2014. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/1993/23875.

Council of Science Editors:

Huang X. Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models. [Masters Thesis]. University of Manitoba; 2014. Available from: http://hdl.handle.net/1993/23875

24. Xu, Lai. What About Short Run? .

Degree: 2014, Duke University

  This dissertation explores issues regarding the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is… (more)

Subjects/Keywords: Finance; Equity Risk Premium; GARCH; Predictability; Tail Risk; Variance Risk Premium; Volatility

Tail Risk and Equity Risk Premia 80 3.1 Introduction… …in the Long-Run . . . . . . . . . . . . . . 153 x C Supplementary Appendix to “Tail Risk… …1 Stock Return Predictability and Variance Risk Premia: Statistical Inference and… …Regressions . . . . . . . . . . . . . . . . . . . 14 Global Variance Risk… …Variance Risk Premium . . . . . . . 20 Conclusion… 

Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Page 7

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APA (6th Edition):

Xu, L. (2014). What About Short Run? . (Thesis). Duke University. Retrieved from http://hdl.handle.net/10161/8712

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Xu, Lai. “What About Short Run? .” 2014. Thesis, Duke University. Accessed January 28, 2020. http://hdl.handle.net/10161/8712.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Xu, Lai. “What About Short Run? .” 2014. Web. 28 Jan 2020.

Vancouver:

Xu L. What About Short Run? . [Internet] [Thesis]. Duke University; 2014. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/10161/8712.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Xu L. What About Short Run? . [Thesis]. Duke University; 2014. Available from: http://hdl.handle.net/10161/8712

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

25. Oordt, Maarten. On Extreme Events in Banking and Finance.

Degree: 2013, Erasmus School of Economics

 textabstractUncertainty and new developments spread at an astonishing speed across the globe in financial markets. The recent extreme events in banking and finance triggered many… (more)

Subjects/Keywords: agricultural commodities; asset pricing; bank parofitability; business cycle; commodity prices; diversification; extreme value theory; financial markets; financial stability; futures contracts; geography; heavy tails; regression analysis; risk management; securitization; systematic risk; tail dependence; tail risk; tranching

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APA (6th Edition):

Oordt, M. (2013). On Extreme Events in Banking and Finance. (Doctoral Dissertation). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/41644

Chicago Manual of Style (16th Edition):

Oordt, Maarten. “On Extreme Events in Banking and Finance.” 2013. Doctoral Dissertation, Erasmus School of Economics. Accessed January 28, 2020. http://hdl.handle.net/1765/41644.

MLA Handbook (7th Edition):

Oordt, Maarten. “On Extreme Events in Banking and Finance.” 2013. Web. 28 Jan 2020.

Vancouver:

Oordt M. On Extreme Events in Banking and Finance. [Internet] [Doctoral dissertation]. Erasmus School of Economics; 2013. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/1765/41644.

Council of Science Editors:

Oordt M. On Extreme Events in Banking and Finance. [Doctoral Dissertation]. Erasmus School of Economics; 2013. Available from: http://hdl.handle.net/1765/41644

26. Gkillas, Konstantinos. Modeling extreme events in financial markets: theory and applications.

Degree: 2018, University of Patras; Πανεπιστήμιο Πατρών

In this thesis, we employ univariate and multivariate extreme value theory in order to investigate the behaviour of extremes during various booms and crashes in… (more)

Subjects/Keywords: Ανάλυση κινδύνου; Δείκτες κινδύνου; Εξάρτηση ουρών κατανομής; Μονομεταβλητή θεωρία ακραίων τιμών; Οικονομικά σοκ; Πολυμεταβλητή θεωρία ακραίων τιμών; Χρηματοπιστωτική κρίση; Bootstrapping; Economic shocks; Financial crisis forecasting; Multivariate extreme value theory; Risk analysis; Risk indicators; Tail dependencies; Univariate extreme value theory

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APA (6th Edition):

Gkillas, K. (2018). Modeling extreme events in financial markets: theory and applications. (Thesis). University of Patras; Πανεπιστήμιο Πατρών. Retrieved from http://hdl.handle.net/10442/hedi/43806

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Gkillas, Konstantinos. “Modeling extreme events in financial markets: theory and applications.” 2018. Thesis, University of Patras; Πανεπιστήμιο Πατρών. Accessed January 28, 2020. http://hdl.handle.net/10442/hedi/43806.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Gkillas, Konstantinos. “Modeling extreme events in financial markets: theory and applications.” 2018. Web. 28 Jan 2020.

Vancouver:

Gkillas K. Modeling extreme events in financial markets: theory and applications. [Internet] [Thesis]. University of Patras; Πανεπιστήμιο Πατρών; 2018. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/10442/hedi/43806.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Gkillas K. Modeling extreme events in financial markets: theory and applications. [Thesis]. University of Patras; Πανεπιστήμιο Πατρών; 2018. Available from: http://hdl.handle.net/10442/hedi/43806

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

27. Seo, Sang Byung. Essays in Asset Pricing and Tail Risk.

Degree: 2015, University of Pennsylvania

 The first chapter "Option Prices in a Model with Stochastic Disaster Risk," co-authored with Jessica Wachter, studies the consistency between the rare disaster mechanism and… (more)

Subjects/Keywords: Asset pricing; Credit risk; Derivatives; Tail risk; Finance and Financial Management

…80 3.3 CAT measure - Implied catastrophic tail risk . . . . . . . . . . . . . . . . . 90… …103 3.7 Implications for catastrophic tail risk… …matrix of individual CAT measures and tail risk measures135 TABLE 3.6 : Univariate predictive… …CHAPTER 1 : Option Prices in a Model with Stochastic Disaster Risk . . . . . . . 1 1.1… …prices in a single-factor stochastic disaster risk model . . . . . . . . 5 1.3 Average… 

Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Page 7

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Seo, S. B. (2015). Essays in Asset Pricing and Tail Risk. (Thesis). University of Pennsylvania. Retrieved from https://repository.upenn.edu/edissertations/1127

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Seo, Sang Byung. “Essays in Asset Pricing and Tail Risk.” 2015. Thesis, University of Pennsylvania. Accessed January 28, 2020. https://repository.upenn.edu/edissertations/1127.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Seo, Sang Byung. “Essays in Asset Pricing and Tail Risk.” 2015. Web. 28 Jan 2020.

Vancouver:

Seo SB. Essays in Asset Pricing and Tail Risk. [Internet] [Thesis]. University of Pennsylvania; 2015. [cited 2020 Jan 28]. Available from: https://repository.upenn.edu/edissertations/1127.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Seo SB. Essays in Asset Pricing and Tail Risk. [Thesis]. University of Pennsylvania; 2015. Available from: https://repository.upenn.edu/edissertations/1127

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Waterloo

28. Weng, Chengguo. Optimal Reinsurance Designs: from an Insurer’s Perspective.

Degree: 2009, University of Waterloo

 The research on optimal reinsurance design dated back to the 1960’s. For nearly half a century, the quest for optimal reinsurance designs has remained a… (more)

Subjects/Keywords: optimal reinsurance; risk measure; Value at Risk; Conditional Tail Expectation; empirical approach; convex optimization; Lagrangian method; second order conic programming

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APA (6th Edition):

Weng, C. (2009). Optimal Reinsurance Designs: from an Insurer’s Perspective. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/4766

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Weng, Chengguo. “Optimal Reinsurance Designs: from an Insurer’s Perspective.” 2009. Thesis, University of Waterloo. Accessed January 28, 2020. http://hdl.handle.net/10012/4766.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Weng, Chengguo. “Optimal Reinsurance Designs: from an Insurer’s Perspective.” 2009. Web. 28 Jan 2020.

Vancouver:

Weng C. Optimal Reinsurance Designs: from an Insurer’s Perspective. [Internet] [Thesis]. University of Waterloo; 2009. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/10012/4766.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Weng C. Optimal Reinsurance Designs: from an Insurer’s Perspective. [Thesis]. University of Waterloo; 2009. Available from: http://hdl.handle.net/10012/4766

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Halmstad University

29. Kucharska, Magdalena. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.

Degree: 2009, Halmstad University

  We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the… (more)

Subjects/Keywords: NIG distribution; Value at Risk; Expected Tail Loss; Lindberg method; EM algorithm; risk analysis; ETL; VaR; Mathematics; Matematik

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kucharska, M. (2009). NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-58180

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kucharska, Magdalena. “NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.” 2009. Thesis, Halmstad University. Accessed January 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-58180.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kucharska, Magdalena. “NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.” 2009. Web. 28 Jan 2020.

Vancouver:

Kucharska M. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL. [Internet] [Thesis]. Halmstad University; 2009. [cited 2020 Jan 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-58180.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kucharska M. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL. [Thesis]. Halmstad University; 2009. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-58180

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

30. Hou, Yanxi. Statistical inference for some risk measures.

Degree: PhD, Mathematics, 2017, Georgia Tech

 Recently, many risk measures have been developed for various types of risk based on multiple financial variables. However, statistical properties of these risk measures are… (more)

Subjects/Keywords: Empirical likelihood method; Conditional value-at-risk; Relative risk; Tail dependence; Copula; Extreme value theory

…from February 1st, 2002 to March 31st, 2011 and 95% intervals of the relative tail risk… …at-risk. These risk metrics are intended to measure the tail risks and/or systemic risk in… …newly proposed risk measures. These risk measures were introduced to quantify the tail risks… …approach for the new tail dependence risk in Chapter 4 by Theorem 5.2.1. In Section 1.1, we… …tail dependence. In Section 1.3, some well-known risk measures are mentioned which provides… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hou, Y. (2017). Statistical inference for some risk measures. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/58629

Chicago Manual of Style (16th Edition):

Hou, Yanxi. “Statistical inference for some risk measures.” 2017. Doctoral Dissertation, Georgia Tech. Accessed January 28, 2020. http://hdl.handle.net/1853/58629.

MLA Handbook (7th Edition):

Hou, Yanxi. “Statistical inference for some risk measures.” 2017. Web. 28 Jan 2020.

Vancouver:

Hou Y. Statistical inference for some risk measures. [Internet] [Doctoral dissertation]. Georgia Tech; 2017. [cited 2020 Jan 28]. Available from: http://hdl.handle.net/1853/58629.

Council of Science Editors:

Hou Y. Statistical inference for some risk measures. [Doctoral Dissertation]. Georgia Tech; 2017. Available from: http://hdl.handle.net/1853/58629

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