tail risk การใช้

• These risks are known as tail risks.
• A common theme through these strategies was to be long tail risk, primarily through volatility.
• There's also the worry of " tail risk " when the investor reclaims the bonds.
• Tail risk is sometimes defined less strictly, as merely the risk ( or probability ) of rare events.
• Diversification across tail risk buckets can provide benefits in the form of smaller portfolio drawdowns and reduce the need for tail risk protection.
• Diversification across tail risk buckets can provide benefits in the form of smaller portfolio drawdowns and reduce the need for tail risk protection.
• The first that " tail risks are non-measurable " and the second is that for anchoring reasons VaR for leading to higher risk taking.
• The common technique of using a distribution of changes in price will underestimate the true value for tail risk due to fat tails in financial data.
• During tail risk events asset prices can fall significantly creating deep portfolio diversification of capital within buckets does not work because periods of negative performance of portfolio components are overlapped.
• Taleb was a pioneer of tail risk hedging ( now sometimes called " black swan protection " ), which is intended to mitigate investors'exposure to extreme market moves.
• Typically one is interested in statistics such as the annual probability of loss or damage in excess of some value ( Value at risk ), other tail risk measures, and return periods.
• Even so, the amount of tail risk is minimal when one considers the value of a dollar today compared with what its value will be in 10 years, which is likely to be considerably lower.
• Other defects cannot be mitigated by modifying the model, however, notably tail risk and liquidity risk, and these are instead managed outside the model, chiefly by minimizing these risks and by stress testing.
• In such scenarios, vine copulas that allow for asymmetric dependence ( e . g ., Clayton, Rotated Gumbel ) across portfolios of assets are most appropriate in the calculation of tail risk using VaR or CVaR.
• The management of tail risks should also be reviewed so that allocating economic capital weighted by a very low probability of occurrence of an event amounted to considering a normal distribution of events or simply overlooking the tail risk.
• The management of tail risks should also be reviewed so that allocating economic capital weighted by a very low probability of occurrence of an event amounted to considering a normal distribution of events or simply overlooking the tail risk.
• Because correlations among assets and asset classes increase during tail risk events and can go to 100 %, TRP divides asset classes into buckets that behave differently under market stress conditions, while assets in each bucket behave similarly.
• "The guys who have entered into these transactions probably won't be around when it matures to have to worry about the tail risk, " said Kathleen Malus, who manages $ 8 billion for Federated Research Group in Pittsburgh.
• But perhaps the most important concern is whether banks 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 so that the consequences to the real economy are minimised ."
• To minimize exposure to tail risk, forecasts of asset returns using Monte-Carlo simulation with vine copulas to allow for lower ( left ) tail dependence ( e . g ., Clayton, Rotated Gumbel ) across large portfolios of assets are most suitable.