Fat tails, VaR and subadditivity☆

TL;DR: Flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure with significant evidence of tail dependence, heterogeneous dependence, and asymmetric dependence are presented, with dependence being stronger in crashes than in booms.

TL;DR: In this article, the authors revisited commonly accepted desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability, and found that there is no sufficient evidence to justify an all-inclusive replacement of ES by Expectiles in applications, especially as they provided an alternative way for backtesting of ES.

TL;DR: In this article, the authors derived adjusted downside and global measures of individual and systemic risks of hedge funds and distinguish between normally and fat tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the case of fat tails.

TL;DR: In this paper, the authors derive adjusted downside and global measures of individual and systemic risks for hedge funds and distinguish between normally and fat-tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the case of fat tails.

TL;DR: In this article, the authors employ extreme value theory, focusing exclusively on the larger observations in order to assess the tail shape within a unified framework, which enables one to generate robust probabilities on large returns, which put the recent stock market swings into historical perspective.