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Fat Tails, Scaling, and Stable Laws A Critical Look at Modeling Extremal Events in Financial Phenomena

Fat Tails, Scaling, and Stable Laws A Critical Look at Modeling Extremal Events in Financial... Fattailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in valueatrisk measures employed by risk managers. Financial applications include http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

Fat Tails, Scaling, and Stable Laws A Critical Look at Modeling Extremal Events in Financial Phenomena

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1526-5943
DOI
10.1108/eb022976
Publisher site
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Abstract

Fattailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in valueatrisk measures employed by risk managers. Financial applications include

Journal

The Journal of Risk Finance – Emerald Publishing

Published: Apr 1, 2003

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