Financial Engineering

Applications of Fat Tail Models
in Financial Markets


The list below are all the references used in the project.

  • Value At Risk: A Quantile-Based Distribution Approach For Incorporating Skewness And Fat-Tailedness, Doowoo Nam
  • Alternative statistical distributions for estimating value-at-risk: theory and evidence, Cheng-Few Lee and Jung-Bin Su
  • Implementable tail risk management: An empirical analysis of CVaR-optimized carry trade portfolios, Hakan Kaya, Wai Lee, Bobby Pornrojnangkool
  • An Empirical Examination of Extreme Value Theory Methods in VaR Estimation, Zhenhong Faa
  • Capturing fat tails, Zari Rachev,Boryana Racheva-Iotova and Stoyan Stoyanov
  • Estimating Flexible, Fat-Tailed Asset Return Distributions, Craig Friedman, Yangyong Zhang, and Jinggang Huang
  • Estimation of portfolio return and value at risk using a class of gaussian mixture distributions, Kangrong Tan, Meifen Chu
  • A Comparative Software Review for Extreme Value Analysis, Eric Cilleland, Mathieu Ribatet, Alec G Stephenson
  • VaR-x: Fat tails in financial risk management, Ronals Huisman, Kees G Koedijk and Rachel A J Pownall
  • Fat-tailed models for risk estimation, Stoyan V. Stoyanov, Svetlozar T. Rachev, Boryana Racheva-Iotova, Frank J. Fabozzi
  • Fat tails via utility based entropy, Craig Freedman, Yangyong Zhang, Wenba Cao
  • An Application of Extreme Value Theory for Measuring Financial Risk, Manfred Gilli and Evis KÄellezi
  • Option Pricing and Implied Tail Indices under the Generalised Extreme Value (GEV) Distribution, Amadeo Alentorn
  • Intrinsic bubbles and fat tails in stock prices: a note, Prasad V. Bidarkota and Brice V. Dupoyet
  • Risk Forecasting with GARCH, Skewed t Distributions, and Multiple Timescales, Alec N. Kercheval and Yang Liu
  • Portfolio optimization with serially correlated, skewed and fat tailed index returns, M. Glawischnig and I. Seidl
  • Return Distributions and Applications, Young Do Kim
  • Computational aspects of risk estimation in volatile markets: A survey, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
  • Backtesting Value-at-Risk based on Tail Losses, Woon K. Wong
  • Statistical modeling of finance data and extensions of option pricing framework, Xin Zhong
  • Steps in Applying Extreme Value Theory to Finance: A Review, Younes Bensalah
  • The Tail Fatness and Value-at-Risk Analysis of TAIFEX and SGX-DT Taiwan
  • Stock Index Futures, Yu Chuan Huang, Chu-Hsiung Lin, Chang-Cheng Chang Chien and Bor-Jing Lin
  • The tale of the tail: extreme-value patterns of financial returns, Angelo Corelli
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