LAUSR

Do hedge funds time market tail risk? Evidence from option‐implied tail risk

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1 Published in 2018 at "Journal of Futures Markets"

DOI: 10.1002/fut.21972

Abstract: This paper focuses on an unexplored dimension of fund managers’ timing ability: Market‐wide tail risk implied by information in options markets. Constructing the option‐implied tail risk, we investigate whether hedge fund managers can strategically time… read more here.

Keywords: risk; tail risk; hedge; implied tail ... See more keywords

The long and short of commodity tails and their relationship to Asian equity markets

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1 Published in 2017 at "Journal of Asian Economics"

DOI: 10.1016/j.asieco.2017.08.001

Abstract: We aim to determine if the relative tail risk of commodities remains consistent over time and whether there is association between commodity tail risk and Asian equity markets. We examine the tail risk of 24… read more here.

Keywords: risk; asian equity; tail risk; long short ... See more keywords

Tail risk contagion between international financial markets during COVID-19 pandemic

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0 Published in 2020 at "International Review of Financial Analysis"

DOI: 10.1016/j.irfa.2020.101649

Abstract: Abstract In this paper, we combine the time-varying financial network model and FARM-selection approach to analyze the tail risk contagion between international financial market during the COVID-19 epidemic. Since the tail risk acts as a… read more here.

Keywords: tail risk; risk contagion; risk; international financial ... See more keywords

Tail risk and systemic risk of finance and technology (FinTech) firms

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3 Published in 2022 at "Technological Forecasting and Social Change"

DOI: 10.1016/j.techfore.2021.121191

Abstract: Abstract Technology firms are increasingly moving to finance. They are able to make use of a large stock of user data and offer a range of services that otherwise were not possible. This move may… read more here.

Keywords: risk; tail risk; risk systemic; technology firms ... See more keywords

Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework

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0 Published in 2018 at "Communications in Statistics - Theory and Methods"

DOI: 10.1080/03610926.2018.1549253

Abstract: Abstract Modeling excesses over a high threshold and estimating extreme tail risk are two utmost studies in the extreme value literature. Traditional techniques are limited on handling these two challenges. To better analyze this type… read more here.

Keywords: tail risk; extreme tail; tail; generalized pareto ... See more keywords

Estimating portfolio risk for tail risk protection strategies

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0 Published in 2020 at "European Financial Management"

DOI: 10.1111/eufm.12256

Abstract: We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected… read more here.

Keywords: risk; portfolio; risk protection; portfolio risk ... See more keywords

Will a boom be followed by crash? A new systemic risk measure based on right-tail risk

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1 Published in 2023 at "Frontiers in Psychology"

DOI: 10.3389/fpsyg.2022.1104618

Abstract: In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe. To study the accumulation, outbreak, and cross-sector spillover… read more here.

Keywords: systemic risk; tail risk; risk; right tail ... See more keywords

Implied Tail Risk and ESG Ratings

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0 Published in 2021 at "Mathematics"

DOI: 10.3390/math9141611

Abstract: This paper explores whether the high or low ESG rating of a company is related to the level of its implied tail risk, measured on the basis of derivative data by implied skewness and implied… read more here.

Keywords: ratings implied; esg ratings; risk; tail risk ... See more keywords

Taming Tail Risk: Regularized Multiple β Worst-Case CVaR Portfolio

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1 Published in 2021 at "Symmetry"

DOI: 10.3390/sym13060922

Abstract: The importance of proper tail risk management is a crucial component of the investment process and conditional Value at Risk (CVaR) is often used as a tail risk measure. CVaR is the asymmetric risk measure… read more here.

Keywords: risk; portfolio; tail risk; cvar portfolio ... See more keywords