Saved in:
| Main Authors: | Yang, Fan, Zhang, Yi |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.09657 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
by: Mao, Tiantian, et al.
Published: (2024)
by: Mao, Tiantian, et al.
Published: (2024)
Asymptotic Analysis of Optimal Diversification in Catastrophe Risk Pooling
by: Nguyen, Minh Chau, et al.
Published: (2025)
by: Nguyen, Minh Chau, et al.
Published: (2025)
On a multivariate extension for Copula-based Conditional Value at Risk
by: Barreto, Andres Mauricio Molina
Published: (2025)
by: Barreto, Andres Mauricio Molina
Published: (2025)
Principal Component Copulas for Capital Modelling and Systemic Risk
by: Gubbels, K. B., et al.
Published: (2023)
by: Gubbels, K. B., et al.
Published: (2023)
Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
by: Geng, Bingzhen, et al.
Published: (2024)
by: Geng, Bingzhen, et al.
Published: (2024)
A tail-shape actuarial index based on equal level relationships between Value at Risk and Expected Shortfall
by: Papayiannis, Georgios I., et al.
Published: (2025)
by: Papayiannis, Georgios I., et al.
Published: (2025)
Asymptotics of Systemic Risk in a Renewal Model with Multiple Business Lines and Heterogeneous Claims
by: Geng, Bingzhen, et al.
Published: (2024)
by: Geng, Bingzhen, et al.
Published: (2024)
Spectral Dynamics and Regularization for High-Dimensional Copulas
by: Gubbels, Koos B., et al.
Published: (2026)
by: Gubbels, Koos B., et al.
Published: (2026)
An Asymptotic CVaR Measure of Risk for Markov Chains
by: Patel, Shivam, et al.
Published: (2024)
by: Patel, Shivam, et al.
Published: (2024)
Tail copula representation of path-based maximal tail dependence
by: Koike, Takaaki, et al.
Published: (2026)
by: Koike, Takaaki, et al.
Published: (2026)
Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches
by: Rehman, Shafique Ur, et al.
Published: (2024)
by: Rehman, Shafique Ur, et al.
Published: (2024)
Partial Law Invariance and Risk Measures
by: Shen, Yi, et al.
Published: (2024)
by: Shen, Yi, et al.
Published: (2024)
Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
by: Chen, Yuyu, et al.
Published: (2024)
by: Chen, Yuyu, et al.
Published: (2024)
A Motif-Based Framework for Decomposing Risk Spillovers
by: Shao, Ying-Hui, et al.
Published: (2026)
by: Shao, Ying-Hui, et al.
Published: (2026)
Asymptotic Behaviour of Unexpected Losses and Risk Ratios for Co-Monotonic Alternatives
by: Nendel, Max
Published: (2026)
by: Nendel, Max
Published: (2026)
Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application
by: Liu, Yang, et al.
Published: (2026)
by: Liu, Yang, et al.
Published: (2026)
Estimation of the Adjusted Standard-deviatile for Extreme Risks
by: Chen, Haoyu, et al.
Published: (2024)
by: Chen, Haoyu, et al.
Published: (2024)
Combination of traditional and parametric insurance: calibration method based on the optimization of a criterion adapted to heavy tail losses
by: Lopez, Olivier, et al.
Published: (2025)
by: Lopez, Olivier, et al.
Published: (2025)
Measuring multivariate maximal tail dependence
by: Koike, Takaaki, et al.
Published: (2026)
by: Koike, Takaaki, et al.
Published: (2026)
The Epistemic Risk of Risk: A Modal Framework for Quantitative Risk Management
by: Assa, Hirbod
Published: (2026)
by: Assa, Hirbod
Published: (2026)
Tail-GAN: Learning to Simulate Tail Risk Scenarios
by: Cont, Rama, et al.
Published: (2022)
by: Cont, Rama, et al.
Published: (2022)
Dynamic Risk Assessment of Wildland-Urban Interface Fires
by: Hu, Yusheng, et al.
Published: (2025)
by: Hu, Yusheng, et al.
Published: (2025)
Risk spillovers between the BRICS and the U.S. staple grain futures markets
by: Shao, Ying-Hui, et al.
Published: (2024)
by: Shao, Ying-Hui, et al.
Published: (2024)
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
by: Pu, Tong, et al.
Published: (2024)
by: Pu, Tong, et al.
Published: (2024)
Wishart conditional tail risk measures: An analytic approach
by: Da Fonseca, Jose, et al.
Published: (2026)
by: Da Fonseca, Jose, et al.
Published: (2026)
Project Risk Management from the bottom-up: Activity Risk Index
by: Acebes, Fernando, et al.
Published: (2024)
by: Acebes, Fernando, et al.
Published: (2024)
A Natural Hedging Framework for Longevity Risk with Graphical Risk Assessment
by: Gabric, Lydia J., et al.
Published: (2025)
by: Gabric, Lydia J., et al.
Published: (2025)
Managing Basis Risks in Weather Parametric Insurance: A Quantitative Study of Diversification and Key Influencing Factors
by: Gao, Hang, et al.
Published: (2024)
by: Gao, Hang, et al.
Published: (2024)
Derivatives of Risk Measures
by: Gankhuu, Battulga
Published: (2024)
by: Gankhuu, Battulga
Published: (2024)
Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures
by: Ghossoub, Mario, et al.
Published: (2024)
by: Ghossoub, Mario, et al.
Published: (2024)
Strengthening Risk Management in Pharmacovigilance
by: Vani Pathuri
Published: (2019)
by: Vani Pathuri
Published: (2019)
Multivariate Residual Estimation Risk
by: Manuge, D. J.
Published: (2026)
by: Manuge, D. J.
Published: (2026)
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
by: Cui, Hengxin, et al.
Published: (2024)
by: Cui, Hengxin, et al.
Published: (2024)
Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics
by: Zhang, Shiyu, et al.
Published: (2026)
by: Zhang, Shiyu, et al.
Published: (2026)
Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR
by: Schmitt, Marc
Published: (2026)
by: Schmitt, Marc
Published: (2026)
Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges
by: Sepper, Otar
Published: (2026)
by: Sepper, Otar
Published: (2026)
Physical Climate Risk in Asset Management
by: Azzone, Michele, et al.
Published: (2025)
by: Azzone, Michele, et al.
Published: (2025)
Capital-Allocation-Induced Risk Sharing
by: Chong, Wing Fung, et al.
Published: (2026)
by: Chong, Wing Fung, et al.
Published: (2026)
Multinomial Backtesting of Distortion Risk Measures
by: Bettels, Sören, et al.
Published: (2022)
by: Bettels, Sören, et al.
Published: (2022)
Temperature Anomalies and Climate Physical Risk in Portfolio Construction
by: Azzone, Michele, et al.
Published: (2026)
by: Azzone, Michele, et al.
Published: (2026)
Similar Items
-
Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
by: Mao, Tiantian, et al.
Published: (2024) -
Asymptotic Analysis of Optimal Diversification in Catastrophe Risk Pooling
by: Nguyen, Minh Chau, et al.
Published: (2025) -
On a multivariate extension for Copula-based Conditional Value at Risk
by: Barreto, Andres Mauricio Molina
Published: (2025) -
Principal Component Copulas for Capital Modelling and Systemic Risk
by: Gubbels, K. B., et al.
Published: (2023) -
Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
by: Geng, Bingzhen, et al.
Published: (2024)