Dan Pirjol (J. P. Morgan)

Tail risk in finance and society

Tail risk estimation is a topic of great interest in finance, insurance and risk management. Tail risk events are frequently associated with power law (Pareto) distributions. The talk reviews several proposed stochastic models which can generate power law distributions. One important class of such models is based on linear stochastic recursions. The class of GARCH models is of this type. As an application we present a criterion for tail risk monotonicity in GARCH(1,1) under temporal aggregation.

Acknowledgement: