Essays about: "Tailrisk"

Found 1 essay containing the word Tailrisk.

  1. 1. Complementing Expected Shortfall with Directly Observable Risk Variables

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pontus Johansson; [2021]
    Keywords : Expected shortfall; Tailrisk; Index Investing; Risk Management; Finance; Business and Economics;

    Abstract : This paper uses daily MSCI Sweden Index data to create one day out ES estimates on the $97.5\%$ percentile level for a SEK 100 portfolio. Thereafter the variables (i) the Riksbank's policy rate, (ii) the Riksbank's balance sheet, (iii) the cyclicality of GDP, and (iv) animal spirits are introduced and compared with ES. READ MORE