Paper improves risk estimation for extreme events.
problem Estimating extreme risks accurately.
method Modified Bayes risk for expectiles, asymptotic expansions, efficient estimators.
result Asymptotic normality of estimators proved.
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48 results for “extreme risks”
Optimal portfolios for fat-tailed risks using a new tail risk measure.
problem Optimizing portfolios for pension funds and insurance liabilities with extreme risk sensitivity.
method Developed a new tail risk measure (Extreme Deviation, XD) and optimized portfolios based on this measure.
result Optimal portfolios maximize return per unit of XD, balancing hedging and risk contributions.
The paper calculates VaR and CTE for extreme and aggregate risks using FGM copula.
problem Estimating risk measures for extreme and aggregate risks of dependent and independent markets.
method Used FGM copula to model dependence, exponential and pareto distributions for marginal risks.
result Effect of dependency on VaR and CTE of extreme and aggregate risks analyzed.
Study extreme-case Value-at-Risk under IFR distributions, providing guidance for risk management.
problem Understanding extreme-case risk measures under distributional ambiguity and increasing failure rate.
method Characterized extreme-case range Value-at-Risk under mean and variance constraints with increasing failure rate.
result Characterized specific characteristics of extreme-case distributions under IFR constraints.
EX-DRL improves extreme quantile prediction for financial risk management.
problem Inaccurate estimation of extreme quantiles in loss distributions.
method EX-DRL uses Generalized Pareto Distribution (GPD) to model the tail of the loss distribution and Quantile Regression (QR) to improve extreme quantile prediction.
result EX-DRL provides more precise estimates of extreme quantiles, improving risk metrics reliability.
This paper uses MIS to identify key financial institutions with minimal risk contagion.
problem Mitigating systemic risk during extreme financial events.
method Applying extreme value theory and MIS from graph theory to identify diversified portfolios.
result Identified a subset of institutions with minimal extremal dependence for diversified portfolios.
Proposes a network-based strategy to manage financial market risks.
problem Managing extreme events in volatile financial markets.
method Extreme value theory, network model, maximum independent set, value at risk, expected shortfall.
result Developed portfolio strategies improve risk diversification.
Model predicts unseen climate extremes to inform risk planning.
problem Missing unseen climate extremes in historical records.
method DeepX-GAN model capturing spatial dependence.
result Unseen heat extremes disproportionately threaten vulnerable regions.
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that r…
Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of extreme agricultural financial risk for corn and soybean production in the US: Value …
The book chapter discusses tail risk analysis for financial data using extreme value statistics.
problem Serial dependence in financial time series complicates tail risk assessment.
method The approach involves unconditional and conditional quantile forecasting.
result Serial dependence impacts multivariate tail dependence.
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradientscs.LG
The paper tackles catastrophic risk in reinforcement learning using extreme value theory.
problem Mitigating catastrophic risk in sequential decision making with limited observations.
method Developed POTPG, a policy gradient algorithm based on extreme value theory.
result POTPG outperforms common benchmarks in numerical experiments.
A novel model combines deep learning and extreme value theory for multivariate cyber risk prediction.
problem High dimensionality and heavy tails in multivariate cyber risk patterns.
method Combines deep learning for point predictions and extreme value theory for quantile predictions.
result The model provides satisfactory high quantile predictions and accurate point predictions.
GARCH-UGH improves VaR estimation for financial risk management.
problem Dynamic estimation of extreme VaR in financial time series.
method AR-GARCH filtering followed by a bias-reduced extreme value estimator.
result GARCH-UGH estimates are more accurate than conventional methods.
The paper analyzes extreme risk measures with limited distributional information.
problem Investigating risk measures under partial knowledge of distribution moments and shape.
method Employing probability inequalities and modified Schwarz inequality to derive bounds on distortion risk measures.
result Unified framework for calculating best- and worst-case scenarios of distortion risk measures.
New method identifies extreme risk propagation in financial networks.
problem Understanding extreme risk in financial networks.
method Max-linear structural equation model, hard-thresholding, Hamming distance.
result Sparse DAG for extreme risk propagation estimated.
Neural Networks for Extreme Quantile Regression with an Application to Forecasting of Flood Riskstat.ME
Neural network model forecasts extreme flood risk.
problem Accurately estimating high quantiles of extreme events.
method EQRN model combining neural networks and extreme value theory.
result Forecasting flood risk with improved adaptability.
Paper examines risk measure expansions under FGM dependence, improving accuracy at extreme levels.
problem Capturing higher-order tail behavior and dependence effects in risk measures.
method Second-order asymptotic expansions using extreme value theory and regular variation theory.
result Second-order approximations reduce approximation errors, especially at extreme confidence levels.
A meticulous assessment of the risk of impacts associated with extreme wind events is of great necessity for populations, civil authorities as well as the insurance industry. Using the concept of spatial risk measure and related set of axioms introduced by Koch (2017, 2019), we quantify the risk of losses due to extrem…
The thesis evaluates and compares extreme mixture models in finance and insurance.
problem Estimating tail risk measures in finance and insurance.
method Extreme mixture models and methods, including kernel density estimation and GARCH preprocessing.
result Kernel density estimation-based models do not outperform others in tail risk estimation.
ExGAN generates realistic extreme samples using GANs and EVT.
problem Generating realistic extreme scenarios for risk management.
method ExGAN combines GANs with EVT to model extreme tails of distributions.
result ExGAN efficiently generates extreme samples with constant time complexity.
Enhances Transformers for better risk assessment in finance.
problem Transformer models lack sensitivity to extreme financial losses.
method Integrates Loss-at-Risk function with Value at Risk (VaR) and Conditional Value at Risk (CVaR).
result Improves risk prediction and management in financial datasets.
This paper analyzes extreme flooding risks and proposes insurance and bond solutions.
problem Severe rise in magnitude and frequency of floods causing catastrophic losses.
method Extremes analysis using Peaks-Over-Threshold method and Point Process model; Value-at-Risk (VaR) and Conditional VaR (CVaR) estimation; Flood zoning insurance and catastrophic bond design.
result Developed flood risk vulnerability and threat analysis considering geography and economic factors; Proposed flood zoning insurance and catastrophic bond design.
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of risk. From an application t…
Russia-Ukraine conflict impacts global agricultural futures and spot markets' extreme risks.
problem Impact of Russia-Ukraine conflict on global agricultural futures and spot markets' extreme risks.
method Analytical framework for tail dependence, Copula-CoVaR method, ARMA-GARCH-skewed Student-t model.
result The outbreak of the conflict intensified risks in the wheat market the most and showed significant asymmetries in extreme risk spillovers.
This paper uses VAE to generate extreme events from multivariate data.
problem Generating accurate extremes from observational data for risk assessment.
method Variational Autoencoder (VAE) approach for multivariate heavy-tailed distributions.
result Improves learning of dependency structure between extremes.
Study tail risk in high-frequency finance using -regularized regression.
problem Measuring tail risk dynamics in high-frequency financial markets.
method Dynamic extreme value regression model with -regularized maximum likelihood estimator.
result Severity of extreme losses well predicted by low price impact in high volatility periods.
New method forecasts systemic risk with improved precision.
problem Improving the estimation of systemic risk measures.
method De-volatilizing observations and using extreme value theory for forecasting.
result Valid MES forecasts with good coverage in simulations and empirical applications.
Reply to Tetlock et al. on tail risk and probability gap.
problem Expert judgment fails to account for tail risk.
method Comparison of forecasting tournaments and extreme value theory.
result Greater gap between tail expectation and probability properties.
New model predicts financial tail events using RIA-EVT-Copula.
problem Predicting financial tail events for risk management.
method RIA-EVT-Copula framework combining POT, RIA, and copulas.
result Improved accuracy in predicting financial extremes.
The paper shows real market exists free lunches with vanishing risks.
problem The hypothesis of no free lunches with vanishing risk in real markets.
method Accurately hedged extreme-maturity zero-coupon bond.
result FLVRs naturally exist in the real market.
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are predictable on the short term. Examining a range of different types of returns and th…
Sharp bounds for distortion risk metrics under uncertain distributions.
problem Modeling risk metrics under distributional uncertainty.
method Established bounds for distortion risk metrics using specific features of underlying distributions.
result Identified worst- and best-case values of distortion risk metrics.
A mechanism to share risks and costs with guarantees against extreme outcomes.
problem Softening extreme individual burdens in risk sharing schemes.
method Formalizes Certified Allocation Problem; uses Conformal Risk Sharing with interpretable sharing policy and split conformal calibration.
result Reduces extreme obligations for high-risk agents while controlling harm to others.
Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkagesq-fin.RM
New test identifies risk spillovers in financial markets using extreme events.
problem Identifying risk spillovers in financial markets for systemic risk assessment.
method Novel Granger causality test in tail events using likelihood ratio statistic.
result Good size and power, especially for large sample size, inferring correct time scale.
The paper uses EVT to improve tail risk measures under ambiguity sets.
problem Misspecification of tail risk measures leads to inflated risk estimates.
method Applies Extreme Value Theory to derive worst-case tail risk under ambiguity sets.
result Proposes a tail-calibrated ambiguity design that preserves nominal tail asymptotic scaling.
The study measures systemic risk using common and tail dependence factors.
problem Measuring systemic risk accurately during economic downturns.
method Modeling systemic risk with a common factor for market-wide shocks and a tail dependence factor for extreme events.
result Measures including a tail dependence factor offer better forecasting of financial stress than measures based solely on a common factor.
AGCA approximates angular variation on the unit sphere, reducing extremal dependence problems to eigenanalysis.
problem Approximating angular variation in multivariate extremes.
method Anchored geodesic component analysis (AGCA) approximates angular variation by great subspheres constrained to pass through a chosen reference direction.
result AGCA finds concentrated tail directions in daily equity-portfolio losses, explaining about 91% of anchored variation.
Agents prefer non-diversification in markets with extreme losses.
problem Optimal risk allocation and equilibria in markets with extremely heavy-tailed losses.
method Analysis of super-Pareto loss distributions and stochastic dominance.
result Non-diversification is preferred in markets with super-Pareto losses.
This study analyzes dynamic connectedness in global supply chain infrastructure portfolios, identifying key risk factors and extreme events.
problem Understanding dynamic connectedness in global supply chain infrastructure portfolios under various risk factors and extreme events.
method Time-varying parameter vector autoregression (TVP-VAR) model to study spillover and interconnectedness of risk factors.
result Risk shocks influence dynamic connectedness between portfolios and risk factors, and extreme events affect investment outcomes.
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many economic and financial applicat…
Multi-site modelling and reconstruction of past extreme skew surges along the French Atlantic coaststat.AP
Study models extreme skew surges along French Atlantic coast.
problem Appropriate modelling of extreme skew surges for coastal risk management.
method Peak-over-threshold framework, multivariate generalized Pareto distribution, extreme regression framework.
result Reconstructed historical skew surge time series at stations with limited data.
This paper addresses the problem of estimating, in the presence of random censoring as well as competing risks, the extreme value index of the (sub)-distribution function associated to one particular cause, in the heavy-tail case. Asymptotic normality of the proposed estimator (which has the form of an Aalen-Johansen i…
New risk models use chaotic attractors to predict extreme events.
problem Predicting Black Swan events in financial markets.
method Combining heavy-tailed priors with chaotic dynamics (Lorenz and Rossler systems).
result Models generate volatility clustering, fat tails, and extreme events.
Study optimizes climate adaptation strategies for NYC.
problem Catastrophic damages from extreme weather in NYC.
method Real options analysis and extreme value theory.
result Optimal adaptation pathways identified for NYC.
Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete informationq-fin.RM
Paper derives best- and worst-case GlueVaR measures with incomplete data.
problem Risk measurement with limited information and shape constraints.
method Unified framework based on partial distribution information and shape properties.
result Characterization of extremal GlueVaR distributions with convex envelopes.
Improved estimation of hedge fund tail risks using a novel model.
problem Estimation inefficiencies and need for manual threshold selection in extreme value regression models.
method Extended tail regression model with automatic threshold selection and artificial censoring.
result Significant link between tail risks and factors like equity momentum and financial stability index.
Extreme Value Analysis for Finite, Multivariate and Correlated Systems with Finance as an Exampleq-fin.ST
We develop a framework for analyzing extreme values in correlated financial data.
problem Quantifying and mitigating risk in complex financial systems.
method Developed a practical framework for handling finite, multivariate, and correlated time series in finance.
result We successfully analyze high-frequency stock returns using univariate extreme value tools.