Sentences with phrase «capture tail risk»

In a new paper, Using Maximum Drawdowns to Capture Tail Risk, my Quantitative Value co-author Wes Gray and Jack Vogel propose a new easily measurable and intuitive tail - risk measure that they call...

In a new paper, Using Maximum Drawdowns to Capture Tail Risk, my Quantitative Value co-author Wes Gray and Jack Vogel propose a new easily measurable and intuitive tail - risk measure that they call «maximum drawdown.»

In the February 2013 draft of their paper entitled «Using Maximum Drawdowns to Capture Tail Risk», Wesley Gray and Jack Vogel investigate maximum drawdown (largest peak - to - trough loss over a time series of compounded returns) as a simple measure of tail risk missed by linear factor models.

Simple climate models (SCMs) can probabilistically project global temperature change and capture tail risk, but lack adequate spatio - temporal resolution.

Not exact matches

Risk is measured by calculating the average of relative volatility, relative Value at Risk (VaR), relative Estimated Tail Loss (ETL) and relative stressed downside capture.