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Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement

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dc.contributor.authorNave Pineda, Juan M.
dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:32Z
dc.date.available2024-05-20T11:24:32Z
dc.date.issued2023
dc.description.abstractEstimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative outliers and uses the latter to estimate this cutoff point. Additionally, from this decomposition, we estimate extreme dependence correlation matrix which is used in the measurement of portfolio risk. For a sample consisting of six assets (Bitcoin, Gold, Brent, Standard&Poor-500, Nasdaq and Real Estate index), we find that our methodology presents better results, in terms of normality and volatility of the tail index, than the Kolmogorov–Smirnov distance, and its unnecessary capital consumption is lower. Also, in the measurement of the risk of a portfolio, the results of our proposal improve those of a t-Student copula and allow us to estimate the extreme dependence and the corresponding indexes avoiding the implicit restrictions of the elliptic and Archimedean copulas.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2023.102512
dc.identifier.issn1057-5219
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11917
dc.journal.titleInternational Review of Financial Analysis
dc.journal.volume86
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject.keywordsTail index
dc.subject.keywordsFat tail
dc.subject.keywordsExtreme dependence
dc.subject.keywordsConfidence level
dc.titleWhere is the distribution tail threshold? A tale on tail and copulas in financial risk measurementes
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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