Chapter 19: Risk Management
Tail-Risk Estimation Under Finite Samples intermediate
The deeper the tail you want to measure, the fewer observations you actually have to measure it.
The deeper the tail you want to measure, the fewer observations you actually have to measure it.
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References
Advances in Financial Machine Learning
Marcos Lopez de Prado
(2018)
— John Wiley & Sons
Fat and Heavy Tails in Asset Management
Michele Leonardo Bianchi, Gian Luca Tassinari, Frank J. Fabozzi
(2023)
— The Journal of Portfolio Management
Tail-GAN: Learning to Simulate Tail Risk Scenarios
Rama Cont, Mihai Cucuringu, Renyuan Xu, Chao Zhang
(2025)