| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089584 | Journal of Banking & Finance | 2013 | 12 Pages |
Abstract
⺠We analyze sensitivity of conditional value-at-risk (CVaR) to tail index. ⺠CVaR sensitivity to tail index is finite for regularly varying tails. ⺠Stable Paretian, Student's t, and generalized normal laws are studied. ⺠We discuss implications for modeling returns and marginal rebalancing decisions. ⺠Empirical results for US, Japan, and European equity markets are reported.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi,