High Frequency Tail Risk

Stock portfolios with higher exposure to tail risks stand a lot to gain, provided that such risks can be assessed properly. Caio Almeida, Kym Ardison and René Garcia propose a risk-neutral, mean-adjusted expected shortfall methodology for measuring high-frequency tail risk.

November 29, 2021

BylawsCode of ConductPrivacy NoticeTerms of Use © 2021 Global Association of Risk Professionals