In this communications: (1) we present RedES^TM, an Expected Shortfall based risk measure developed in the framework of the Pareto-Lévy stable distributions with clustering; (2) we apply it to about 3,000 equity stocks. The results show that RedES^TM is able to take into account the fat tail effects in a robust manner.
In this short paper: (1) we present RedES™, an Expected Shortfall based risk measure developed in the framework of the Pareto-Lévy stable distributions with clustering; (2) we apply it to about 3,000 equity stocks. The results show that RedES™ is able to take into account the fat tail effects in a robust manner.
RedES^TM, a risk measure in a Pareto-Lévy stable framework with clustering
CORAZZA, Marco
2014-01-01
Abstract
In this short paper: (1) we present RedES™, an Expected Shortfall based risk measure developed in the framework of the Pareto-Lévy stable distributions with clustering; (2) we apply it to about 3,000 equity stocks. The results show that RedES™ is able to take into account the fat tail effects in a robust manner.
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