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- W1720176316 abstract "In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn't forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these measures, we construct the FEER Index, coherent down-side risk measure Forecasting Extreme Events Risk, sensitive to heavy tail risk. We present closed-form solution as a function of the return moments, V aR and CV aR. Furthermore, the FEER Index is dynamically calibrated to the market, becoming a live seismograph for market catastrophes." @default.
- W1720176316 created "2016-06-24" @default.
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- W1720176316 date "2012-01-01" @default.
- W1720176316 modified "2023-09-25" @default.
- W1720176316 title "FEER Index - Forecasting Extreme Events Risk" @default.
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- W1720176316 doi "https://doi.org/10.2139/ssrn.2070914" @default.
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