Research seminar: Evarist Stoja (University of Bristol Business School)
We would like to invite you to a research seminar by Evarist Stoja, Professor of Finance at the University of Bristol Business School.
Paper: The Taxonomy of Tail Risk
Authors: Evarist Stoja (University of Bristol), Arnold Polanski (University of East Anglia), Linh H. Nguyen (University of Nottingham)
We use tail events at different levels of severity to define an asset’s tail risk and decompose the latter into systematic and idiosyncratic components. The systematic component captures an asset’s tendency to experience joint tail losses with the market and generalizes the classic tail dependence coefficient of Sibuya (1960). The idiosyncratic component, on the other hand, consists of two parts: idiosyncratic tail risk that leads to asset-specific tail losses and tail risk cushioning that dampens the tail losses emanating from the market. Tail risk cushioning is a novel concept that arises naturally in our framework, is consistent with the previous two and completes the taxonomy of tail risk. We examine the performance of our tail risk decomposition on a large dataset, confirming some previous results on tail risk and uncovering new theoretical and empirical findings.
The seminar will take place on Tuesday, May 30, in Room 105 since 17:00
The paper is available here.
Autor - Barbora Holková