What Is a Tail Risk?
Tail risk refers to the risk that the amount of the catastrophe loss or the settlement price of the securitized product has not been accurately determined after the catastrophe event until the contract expiration date or the end of the loss development period.
Tail risk
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- Tail risk refers to the risk that the amount of the catastrophe loss or the settlement price of the securitized product has not been accurately determined after the catastrophe event until the contract expiration date or the end of the loss development period.
- Tail risk
- Tail risk refers to the risk that the amount of the catastrophe loss or the settlement price of the securitized product has not been accurately determined after the catastrophe event until the contract expiration date or the end of the loss development period.
- When investment returns may deviate from the mean by more than three standard deviations, tail risk appears, which is a type of portfolio risk.
- In recent years, value-at-risk (VaR) has become an important measure of market risk, but it has some conceptual flaws, so people have proposed two new measures of market risk based on VaR: tail Conditional Expectation (TCE) and Expected Loss (ES). This paper uses the POT model in the extreme value theory and the normal distribution GARCH (1,1) model to compare the tail risk of VaR and ES. Small tail risk.
- The tail characteristics of the joint distribution of Shanghai and Shenzhen stock markets were studied using the binary extreme value theory. A new extreme value Copula function, t-EV-copula, is applied to the binary extreme value theory. A comparative analysis of t-EV-copula and Gumble copula shows that: t-EV-copula can not only simulate the extreme value data well, but also accurately capture the changes in the upper and lower tails. The binary distribution function of EV-copula's Shanghai and Shenzhen stock market joint distribution tails is plotted and the distribution function is plotted. Finally, using VaR as a risk measure further describes the tail characteristics of the joint distribution.
- Tail risk is usually the risk of being ignored when the effects of some events have not completely receded. These risks can sometimes lead to the formation of asset bubbles.