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Longer titles found: Tail risk parity (view)

searching for Tail risk 27 found (50 total)

alternate case: tail risk

Nassim Nicholas Taleb (6,017 words) [view diff] exact match in snippet view article find links to article

trading to attain independence and freedom from authority. He advocated for tail risk hedging, which is intended to mitigate investors' exposure to extreme

Derivative (finance) (11,101 words) [view diff] no match in snippet view article

In finance, a derivative is a contract that derives its value from the performance of an underlying entity. This underlying entity can be an asset, index

Damiano Brigo (4,859 words) [view diff] exact match in snippet view article find links to article

utility of Kahneman and Tversky, which can be used to model excessively tail risk seeking traders, or limited liability traders, static risk constraints

Toxic asset (1,797 words) [view diff] exact match in snippet view article find links to article

describes one such instrument, a "tail risk" swap: ...[S]tructured finance gave banks and others more chances to take on “tail risk”. This is an insurance-like

Kurtosis risk (441 words) [view diff] no match in snippet view article find links to article

the normal distribution. Kurtosis risk is commonly referred to as "fat tail" risk. The "fat tail" metaphor explicitly describes the situation of having

Vine copula (3,044 words) [view diff] exact match in snippet view article find links to article

example, in finance, vine copulas have been shown to effectively model tail risk in portfolio optimization applications. The first regular vine, avant

Market risk (1,306 words) [view diff] exact match in snippet view article find links to article

across portfolios of assets are most appropriate in the calculation of tail risk using VaR or CVaR. Besides, care has to be taken regarding the intervening

MatlinPatterson (1,557 words) [view diff] exact match in snippet view article find links to article

consistent, equity-like returns while limiting volatility and the potential tail risk that can be associated with the credit asset class. The team's security

David Viniar (788 words) [view diff] case mismatch in snippet view article find links to article

Fund New York Times 14 August 2007 Conti-Brown, Peter. "Proposed Fat-Tail Risk Metric: Disclosures, Derivatives, and the Measurement of Financial Risk

Stress test (financial) (1,677 words) [view diff] case mismatch in snippet view article

Practice, March, 2015. "One Bank Flagship Seminar by Nassim Nicholas Taleb - Tail Risk Measurement Heuristics". Bank of England, February, 2016. "A New Heuristic

Public health mitigation of COVID-19 (4,852 words) [view diff] case mismatch in snippet view article find links to article

ReallyCorrect.com. Cirillo, Pasquale and Nassim Nicholas Taleb (2020). "Tail Risk of Contagious Diseases". Nature Physics. 16 (6): 606–613. arXiv:2004.08658

Mark Spitznagel (1,272 words) [view diff] no match in snippet view article find links to article

Newsletter, Fall/Winter, 2009 Universa Investments L.P., firm website Tail-Risk Hedge Pioneer Spitznagel on Safe Havens, Keynote address, Bloomberg Invest

Market anomaly (2,147 words) [view diff] exact match in snippet view article find links to article

delay Hou and Moskowitz 2005 Review of Financial Studies Cross-Sectional Tail risk beta Kelly and Jiang 2014 Review of Financial Studies Cross-Sectional

Volatility tax (815 words) [view diff] case mismatch in snippet view article find links to article

"Leveraged Investment Products: Monthly Rebalancing Boosts Performance, but Tail Risk Looms". The Journal of Index Investing. 10 (3): 58–69. doi:10.3905/jii

Raghuram Rajan (5,838 words) [view diff] exact match in snippet view article find links to article

will be able to provide liquidity to financial markets so that if the tail risk does materialise, financial positions can be unwound and losses allocated

2007–2008 financial crisis (25,309 words) [view diff] exact match in snippet view article find links to article

will be able to provide liquidity to financial markets so that if the tail risk does materialize, financial positions can be unwound and losses allocated

Greg N. Gregoriou (408 words) [view diff] case mismatch in snippet view article find links to article

Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence, February 2013 at Elsevier Press, Burlington

Kelly criterion (5,489 words) [view diff] no match in snippet view article find links to article

117% for the American stock market SP500 index. Significant downside tail-risk for equity markets is another reason to reduce Kelly fraction from naive

Exchange-traded note (2,060 words) [view diff] no match in snippet view article find links to article

Rakowski, David; Shirley, Sara E.; Stark, Jeffrey R. (December 2017). "Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded

Expected shortfall (5,952 words) [view diff] exact match in snippet view article find links to article

Novak. When forecasting VaR and ES, or optimizing portfolios to minimize tail risk, it is important to account for asymmetric dependence and non-normalities

The Better Angels of Our Nature (6,856 words) [view diff] exact match in snippet view article find links to article

Nassim; Cirillo, Pasquale (June 2016). "On the statistical properties and tail risk of violent conflicts". Physica A: Statistical Mechanics and Its Applications

Bundled payment (5,371 words) [view diff] exact match in snippet view article find links to article

fraction of the risk while payers continue to bear the rest. Exclusions, tail risk, and stop-loss criteria: Bundled payment models may choose to set up a

Spoofing (finance) (2,625 words) [view diff] exact match in snippet view article

liquidity during a monsoon and absorbing it during a drought. This fattens tail risk. Understanding and correcting those tail events is a systemic issue. It

Economic analysis of climate change (16,152 words) [view diff] no match in snippet view article find links to article

underestimated, and may be severe, with the probability of disastrous tail-risk events. Tipping points are critical thresholds that, when crossed, lead

Charles J. Gradante (2,409 words) [view diff] exact match in snippet view article find links to article

after the Russian economic crisis of 1998, LTCM developed a flawed, fat-tail risk strategy. Secondly, banks and brokers lent too much capital to LTCM without

Universa Investments (779 words) [view diff] exact match in snippet view article find links to article

resulted in a $1 billion gain. In 2017, CalPERS hired Universa to provide tail risk hedging protection to its investments. In 2020, CalPERS terminated Universa's

Dragon king theory (4,118 words) [view diff] exact match in snippet view article find links to article

probability of loss or damage in excess of some value (value at risk), other tail risk measures, and return periods. To provide such risk characterizations,