Special Issue "Recent Developments in Tail Risk Measures"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: 30 April 2019
Dr. Tomer Shushi
Department of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva, Israel
Website | E-Mail
Interests: risk management; actuarial science; risk measures; optimal portfolio selection; allocation principles; multivariate analysis; loss distributions
Tail risk measures are becoming an important attribute in the regulatory guidelines of banking, financial and insurance systems. Their popularity can be explained by their high sensitivity to low probability—extreme financial losses, such as bankruptcy, natural catastrophes, and so on. One of the most prominent of such measures, which is very popular in the economic, banking and insurance literature, is the quantile of a loss distribution corresponding to a high level of confidence, called Value-at-Risk (VaR). However, recently other risk measures quantifying the risk of the tail, being in some sense a projection of its expectation, have gained increasing popularity. These include, among others, the tail condition expectation (TCE), tail VaR (TVaR), expected shortfall (ES) and conditional VaR (CVaR). These risk measures, meet, in fact, the Euler capital allocation principles and provide the required capital allocation aimed at offsetting extreme losses. At the same time, the projection onto the tail serves the quantification of not only the loss but also the discrepancy of the loss from its expectation by means of covariance, skewness, kurtosis and higher moments.
Against this background, this Special Issue aims to assemble high-quality papers that offer a discussion of the state-of-the-art of the developments in tail risk measures, both from the theoretical and practical perspectives. We welcome papers related, but not limited to, the following topics—all associated with the tail of the loss distribution.
- Quantifying random risks and losses in the tails
- Projection onto the tails of dispersion, covariance and other dependence measures
- Translation invariance and positive homogeneous risk measures
- Capital allocation of aggregate risks
- Optimal portfolio selection
- Robust tail risk measures
- Asymptotics with respect to a high level of confidence
- Multivariate tail risk measures
Prof. Dr. Zinoviy Landsman
Prof. Dr. Udi Makov
Dr. Tomer Shushi
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access quarterly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 350 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- expected shortfall
- tail condition expectation
- tail variance
- portfolio selections
- translation invariant
- positive homogeneity
- projection onto the tail