Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 27 for “"Tail risk"”.
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Tail risk in international markets
<p>Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to 2014, I show that tail risk positively …
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Essays On The Applications Of Network Analysis To The Reinsurance Market
… market as a network. It provides the first detailed empirical analysis of the microstructure of the reinsurance network including both affiliated and unaffiliated insurers. I find that reinsurance networks are highly sparse and yet largely connected, and exhibit hierarchical core-periphery …
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Three Essays on Extremes and Non-Linearities in Asset Pricing
… Conditional Market Returns: Is Variance or Tail-Risk Priced", empirically investigates the question whether there is a positive relationship between aggregate market tail risk and expected returns. Based on the classical risk return trade-off, intuition suggests a statistically positive …
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Market Timing strategy through Reinforcement Learning
… this dissertation starts by modeling the market tail risk using the EVT and reinforcement learning methods, distinguishing from the traditional value at risk method. In this dissertation, I used EVT to extract the characteristics of the tail risk, which are inputs for reinforcement learning. This …
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Essays on institutional investors, central banks and asset pricing
… Reserve Bank on the equilibrium equity premium, risk free rate and asset volatility and to analyze the effect of these institutions on risk shifting, portfolio allocation and financial stability. Specific features of institutional investors and central banks as well as their role in financial …
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Essays in financial economics
… work with Tetsuya Kaji, we study how Value-at- Risk (VaR) constraint affects the amount of information that price conveys in an economy with asymmetric information. We first show that VaR constraint is different from others (e.g. borrowing and short-sale constraints) in that VaR constraint is …
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Portfolio risk minimization under departures from normality
… and statistically sound approaches to portfolio risk minimization. When returns exhibit asymmetry, we propose using a quantile-based measure of risk which we call shortfall. Shortfall is related to Value-at-Risk and Conditional Value-at-Risk, and can be tuned to capture tail risk. We formulate …
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Coordination failure and its consequences: Three essays
… In Chapter 2, we study the link between cyber risk and financial stability in banking. We embed a canonical global game of bank runs in a coordination game among banks that features a trade-off between a public good (the cybersecurity of a digital platform) and a private good (bank operational …
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Learning connections in financial time series
… set of equities can be used to control risk while achieving a good rate of return. The basic idea is to choose equities that have high expected returns, but are unlikely to move together. Identifying a portfolio of equities that remain well diversified over a future investment period is …
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Income Inequality Measures and Statistical Properties of Weighted Burr-type and Related Distributions
<p>In this thesis, tail conditional expectation (TCE) in risk analysis, an important measure for right-tail risk, is presented. This value is generally based on the quantile of the loss distribution. Explicit formulas of several tail conditional expectations and inequality measures for Dagum-type …
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Essays on Quantitative Risk Management
… the importance as well as challenges of risk management. This thesis explores several core concepts of quantitative risk management and provides further insight. We start with rating migration risk and propose a Mixture of Markov Chains (MMC) model to account for stochastic business cycle …
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Fixed income portfolio construction: a Bayesian approach for the allocation of risk factors
… between the expected return and the associated risks. In light of the most recent extensions of Black-Litterman model, we stick to a Bayesian approach for the construction of active fixed income portfolios. Within the investment grade universe, the equilibrium returns are approximated by the …
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Quantile Connectedness and Tail Risks: Interactions between Agricultural and Energy Markets
This study examines the return spillovers and tail-risk dynamics between energy and agricultural commodity markets using a quantile vector autoregression (QVAR) model. We investigate connectedness in the futures contract returns of ten commodities, including energy products (crude oil, heating oil, …
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Essays on amplification mechanisms in financial markets
… disutility and determine the fund's exposure to tail risk. The model delivers rich dynamics for managers' behavior. Good reputation managers exploit their status by extracting higher rents from investors, while intermediate reputation managers tend to improve their returns to attract more funds. …
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Problem-driven scenario generation for stochastic programs
… one aims to minimize the expectation, or some risk measure, of a loss function. However, stochastic programs are computationally intractable when the underlying uncertain parameters are modeled by continuous random vectors. Scenario generation is the construction of a finite discrete random …
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Essays in asset pricing and market imperfections
… a dynamic model where investors face the risk of potential liquidity crises. We find that investors choose optimal portfolios not only to hedge the risk of asset fundamentals, but also to hedge the risk of potential liquidity crashes. The potentially illiquid assets tend to have a lower …
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Essays on measuring systemic risk
… various approaches of measuring the systemic risk, identifying the systemic important banking institutions and exploring extreme equity price movements of euro area banking institutions. It consists three chapters focusing on U.S. and euro area banking institutions. Chapter 2 investigates the …
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… the Canadian macroeconomy, bank lending and bank risk. Unlike most literature treating commodity price changes as exogenous, I identify global structural shocks driving real commodity prices and find that global demand and commodity market–specific shocks are crucial. These two shocks are shown to …
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Essays on the empirical analysis of volatility transmission in petroleum markets
… participants to potentially much greater risks. This thesis addresses the explicit modeling of petroleum price volatility in a multivariate framework and analyzes the relative merits of multivariate models to describe change in the context of petroleum markets risk. The focus of this …
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