EconStor >
Karlsruher Institut für Technologie (KIT) >
Fakultät für Wirtschaftswissenschaften, Karlsruher Institut für Technologie (KIT) >
Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT) >

Please use this identifier to cite or link to this item:
Title:Fat-tailed models for risk estimation PDF Logo
Authors:Stoyanov, Stoyan V.
Rachev, Svetlozar T.
Racheva-Iotova, Boryana
Fabozzi, Frank J.
Issue Date:2011
Series/Report no.:Working paper series in economics 30
Abstract: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.
Persistent Identifier of the first edition:urn:nbn:de:swb:90-232444
Document Type:Working Paper
Appears in Collections:Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)

Files in This Item:
File Description SizeFormat
659400324.pdf1.3 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.