Financial Risk and Heavy Tails

@inproceedings{Bradley2001FinancialRA,
  title={Financial Risk and Heavy Tails},
  author={Brendan Bradley and Murad S. Taqqu},
  year={2001}
}
It is of great importance for those in charge of managing risk to understand how financial asset returns are distributed. Practitioners often assume for convenience that the distribution is normal. Since the 1960s, however, empirical evidence has led many to reject this assumption in favor of various heavy-tailed alternatives. In a heavy-tailed distribution the likelihood that one encounters significant deviations from the mean is much greater than in the case of the normal distribution. It is… CONTINUE READING
Highly Cited
This paper has 43 citations. REVIEW CITATIONS

References

Publications referenced by this paper.
Showing 1-10 of 71 references

Value at Risk: The New Benchmark for Controlling Market Risk

P. Jorion
McGraw-Hill, 2 edition • 2001
View 12 Excerpts
Highly Influenced

Portfolio selection

H. Markowitz
Journal of Finance, 7:77–91 • 1952
View 13 Excerpts
Highly Influenced

Stable Paretian Models in Finance

S. Rachev, S. Mittnik
John Wiley & Sons • 2000
View 7 Excerpts
Highly Influenced

Modelling Extremal Events for Insurance and Finance

P. Embrechts, C. Klüppelberg, T. Mikosch
Springer Berlin • 1997
View 9 Excerpts
Highly Influenced

Extreme value theory: Potential and limitations as an integrated risk management tool

P. Embrechts
Derivatives Use, Trdaing & Regulation, 6:449–456 • 2000
View 4 Excerpts
Highly Influenced

An Introduction to Copulas

R. B. Nelsen
Springer, New York • 1999
View 4 Excerpts
Highly Influenced

Calculating quantile risk measures for financial return series using extreme value theory

A. McNeil
Preprint, ETH Zürich • 1998
View 4 Excerpts
Highly Influenced

Stable Paretian modelling in finance: Some empirical and theoretical aspects

S. Mittnik, T. Rachev, M. S. Paolella
Adler et al, editor, A Practicul Guide to Heavy Tails. Birkhäuser • 1998
View 3 Excerpts
Highly Influenced

Modelling the persistence of conditional volatilities with GARCH-stable processes

S. Mittnik, M. S. Paolella, T. Rachev
Preprint, University of California, Santa Barbara • 1997
View 3 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…