Abstract
In this communication: (1) we present RedES™, an Expected Shortfall based risk measure developed in the framework of the Pareto-Lévy stable distributions with clustering; (2) we apply it to about 3,000 equity stocks. The results show that RedES™ is able to take into account the fat tail effects in a robust manner.
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© 2014 Springer International Publishing Switzerland
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Donati, R., Corazza, M. (2014). RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-05014-0_21
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DOI: https://doi.org/10.1007/978-3-319-05014-0_21
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-05013-3
Online ISBN: 978-3-319-05014-0
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