Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors

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Subfields: Finance

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Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2007, unknown): “Kool and Palm (2001) proposed a weighted analogue of Hill’s estimator that was reported to correct the small sample bias of the latter statistical technique for sample sizes less than 1000. Recently, using Monte-Carlo methods, Dufour and Kurz-Kim (2005) obtained exact finite sample confidence interv”
An introduction to market risk measurement (2002, methodology): “The combination of these methods is discussed further by Glasserman et al. (1999a) and Fuglsbjerg (2000).”
Beyond Correlation: Extreme Co-movements Between Financial Assets (2002, unknown): “A comprehensive reference list can be found in Glasserman et al. (2002) .”
Portfolio diversification and value at risk under thick-tailedness (2009, methodology): “These distributions were used in a number of works to model heavy-tailedness phenomena with moments up to some order (see, among others, Praetz 1972, Blattberg and Gonedes 1974, Glasserman et al. 2002).”
Consistent information multivariate density optimizing methodology (2006, background): “(30) Substituting equation (28) and equation (29) into equation (30), we get”