Cover Image

Tail Risk Analysis for Financial Time Series

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Kiriliouk, Anna, Zhou, Chen
Format:	Preprint
Published:	2024
Subjects:	Risk Management Applications Methodology
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Dynamic Spatial Treatment Effects and Network Fragility: Theory and Evidence from the 2008 Financial Crisis
by: Kikuchi, Tatsuru
Published: (2025)

Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications
by: Taleb, Nassim Nicholas
Published: (2020)

Distributional regression for seasonal data: an application to river flows
by: Perreault, Samuel, et al.
Published: (2025)

When AAA Satisfies Nothing: Impossibility Theorems for Structured Credit Ratings
by: Pollanen, Marco
Published: (2026)

Effective experience rating for large insurance portfolios via surrogate modeling
by: Calcetero-Vanegas, Sebastian, et al.
Published: (2022)

Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets
by: Rubilar-Torrealba, Rolando, et al.
Published: (2025)

Tail risk forecasting with semi-parametric regression models by incorporating overnight information
by: Chen, Cathy W. S., et al.
Published: (2024)

Stochastic Loss Reserving: Dependence and Estimation
by: Fleck, Andrew, et al.
Published: (2024)

General Equilibrium Amplification and Crisis Vulnerability: Cross-Crisis Evidence from Global Banks
by: Kikuchi, Tatsuru
Published: (2025)

Benchmarking M6 Competitors: An Analysis of Financial Metrics and Discussion of Incentives
by: Schneider, Matthew J., et al.
Published: (2024)

On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
by: Alexander, Nolan, et al.
Published: (2026)

A Portfolio-Anchored Frequency-Severity Risk Index for Trip and Driver Assessment Using Telematics Signals
by: Lee, Jongtaek, et al.
Published: (2026)

The Estimation Risk in Extreme Systemic Risk Forecasts
by: Hoga, Yannick
Published: (2023)

Sensitivity Analysis of Ruin of an Insurance Company in Ghana
by: Pabifio, Daniel Tawiah
Published: (2024)

Analysis of an aggregate loss model in a Markov renewal regime
by: Ramírez-Cobo, Pepa, et al.
Published: (2024)

Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
by: Alexander, Nolan, et al.
Published: (2026)

A new paradigm of mortality modeling via individual vitality dynamics
by: Zhu, Xiaobai, et al.
Published: (2024)

EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals
by: Deo, Anand
Published: (2025)

Machine Learning based Enterprise Financial Audit Framework and High Risk Identification
by: Yuan, Tingyu, et al.
Published: (2025)

Statistical Validation of Contagion Centrality in Financial Networks
by: Sadeghi, Agathe, et al.
Published: (2024)

On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures
by: Pu, Tong, et al.
Published: (2024)

Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data
by: Biswas, Suparna, et al.
Published: (2024)

Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk
by: Zhong, Tenghan
Published: (2026)

Systemic Risk Surveillance
by: Dimitriadis, Timo, et al.
Published: (2026)

A Dynamic Spillover Effect Investigation on Cryptocurrency Market Before and After Pandemic
by: Lan, Wenjie
Published: (2024)

Impact of aleatoric, stochastic and epistemic uncertainties on project cost contingency reserves
by: Curto, David, et al.
Published: (2024)

Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis
by: Botha, Arno, et al.
Published: (2025)

Loss of earning capacity in Denmark -- an actuarial perspective
by: Furrer, C., et al.
Published: (2025)

Expectile hidden Markov regression models for analyzing cryptocurrency returns
by: Foroni, Beatrice, et al.
Published: (2023)

Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market
by: Foroni, Beatrice, et al.
Published: (2023)

Deriving the term-structure of loan write-off risk under IFRS 9 by using survival analysis: A benchmark study
by: Botha, Arno, et al.
Published: (2026)

A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance
by: Hedges, C. Evans
Published: (2025)

Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints
by: Zuo, Baishuai, et al.
Published: (2025)

Index insurance under demand and solvency constraints
by: Lopez, Olivier, et al.
Published: (2025)

One-Shot Individual Claims Reserving
by: Richman, Ronald, et al.
Published: (2026)

Principal Component Copulas for Capital Modelling and Systemic Risk
by: Gubbels, K. B., et al.
Published: (2023)

Mitigating Financial Risk from Climate-Induced Agricultural Price Volatility
by: Das, Sourish, et al.
Published: (2025)

Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
by: Genga, Bingzhen, et al.
Published: (2025)

Subsidising Inclusive Insurance to Reduce Poverty
by: Flores-Contró, José Miguel, et al.
Published: (2021)

Spectral Dynamics and Regularization for High-Dimensional Copulas
by: Gubbels, Koos B., et al.
Published: (2026)