List of Articles Tail Risk

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  1 - Providing a model for tail risk estimation using extreme Value mixture models (Parametric, semi-parametric and non-parametric)
  ali soori bahman esmaeili vahid nobakht
  10.30495/jfksa.2021.19253
  Financial market participants are constantly exposed to uncertainty and investment risk. Predicting and calculating risk is one of the most important issues in the field of financial issues. Reviewing the financial crises of recent years, it can be inferred that one of More

  Financial market participants are constantly exposed to uncertainty and investment risk. Predicting and calculating risk is one of the most important issues in the field of financial issues. Reviewing the financial crises of recent years, it can be inferred that one of the reasons for these crises is the excessive attention to the repetitive central data and the lack of attention to the extreme data. In other words, in the analysis of financial data, the end part of the distribution should also be considered. The purpose of this study is to provide a model for tail risk estimation using extreme value mixture models. Accordingly, four one-tailed models and one two-tailed model in two simple functions and GARCH have been used. Modeling is based on three categories of data. The studied data include total index, price index (homogeneous) and index of top 50 companies. According to the obtained results, simulation of models with GARCH significantly improves the performance of models and reduces the error rate of simulated data in GARCH-based models. The findings also indicate that two-tailed models are more accurate than one-tailed models. Manuscript profile
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  2 - Tail risk on stock market: The role of market sentiment
  Azad Asadi mohsen Hashemi Gohar Roya Darabi Shadi Shahverdiani
  One of the determinants of companies' stock returns is knowing the level of risk of companies. Existing risks play an important role in investors' financial decisions in terms of influencing market sentiments by influencing the company's profitability and returns. The i More

  One of the determinants of companies' stock returns is knowing the level of risk of companies. Existing risks play an important role in investors' financial decisions in terms of influencing market sentiments by influencing the company's profitability and returns. The importance of this research is that it shows students, professors, investors, company managers and capital market legislators what is the role of the factor of investors' emotional tendency in stock valuation.This study examines co-morbid risk variables when we use multiple regression to predict the risk return of severe events that change over time at different points in the stock return distribution. We find evidence that there is a strong predictive power in the lower echelons to predict a maximum of one year horizons. Our research results show that in higher quantities there is no relationship between comet risk and stock market surplus returns. In general, the evidence obtained explains the mere large, unusually large stocks observed during periods of sharp stock price falls that are pessimistic market sentiment. Manuscript profile
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  3 - The effect of corporation cash holdings and financial crisis on the tail risk spillovers
  Effat Ahmadizadeh Habib Alah Amirbeyki Langaroudi
  This research investigated the effect of cash holdings and financial crisis on the tail risk spillovers from financial sector companies to non-financial corporations listed in Tehran stock exchange. The purpose of this study is to examine the existing empirical evidence More

  This research investigated the effect of cash holdings and financial crisis on the tail risk spillovers from financial sector companies to non-financial corporations listed in Tehran stock exchange. The purpose of this study is to examine the existing empirical evidence and determine the degree of conformity of the existing facts with the theoretical foundations of the relationship between tail risk spillovers and cash holdings by listed companies in Tehran Stock Exchange. The design of the study is descriptive-correlational and the data was collected via archival process. In this research, a sample of 136 companies from Tehran stock exchange companies was selected through a systematic sampling method. The research timeframe is 12 years from 2005 to 2016. Selective approach is used to test hypotheses by combining combined data and the integrated least squares regression (data panel) method has been used. The results of the study indicate a significant relationship between the cash holdings and the financial crisis over tail risk spillovers from financial sector companies to non-financial sector companies. Manuscript profile
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  4 - Tail Risk and Excess Stock Returns: Evidence of Momentum and Idiosyncratic Risk Anomalies
  Mostafa Ramezani Sharif Abadi Saeid Aliahmadi Mehdi Aghabeikzadeh
  10.30495/fed.2024.709348
  Abstract Capital market anomalies are caused by factors that have not been considered in capital asset pricing models. One of the arguments for explaining anomalies is the theory of extreme value. According to the theory of extreme value, tail risk is an adverse event More

  Abstract Capital market anomalies are caused by factors that have not been considered in capital asset pricing models. One of the arguments for explaining anomalies is the theory of extreme value. According to the theory of extreme value, tail risk is an adverse event that can have a negative impact on excess stock returns. Therefore, the aim of the present study was to investigate the effect of combining momentum anomalies and idiosyncratic risk with tail risk on excess stock returns. In the present study, two criteria of cumulative tail risk and combined covariance tail risk have been used to calculate tail risk. The sampling method in this study is systematic elimination and the time period of the research years from 2007 to 2019 has been selected. The number of sample companies includes 136 companies listed on the Tehran Stock Exchange (TSE) and the 5-factor regression of Fama and French was used to test the research hypotheses. The results indicate that the combination of idiosyncratic risk portfolio and tail risk has a positive and significant effect on excess stock returns. Therefore, by combining this portfolio, investors can gain returns in the Iranian capital market. Also, the results showed that the combination of momentum portfolio and tail risk does not lead to excess stock returns. In general, the results showed that tail risk can be used to explain the existence of idiosyncratic risk anomalies. Manuscript profile
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  5 - Dynamic multi-scale expected shortfall in Tehran Stock Exchange: a spectral decomposition of tail risk across time horizons
  Seyed Ali Mousavi Sarhadi Hosein Izadi Mojgan Safa Mohammadreza Pourfakharan
  10.30495/afi.2023.1967573.1154
  Purpose: The main purpose of the present study is to investigate the tail risk in the Tehran Stock Exchange using dynamic methods and time series spectral analysis in the form of the dynamic multi-scale Expected Shortfall (DMS-ES).Methodology: In this study, the daily d More

  Purpose: The main purpose of the present study is to investigate the tail risk in the Tehran Stock Exchange using dynamic methods and time series spectral analysis in the form of the dynamic multi-scale Expected Shortfall (DMS-ES).Methodology: In this study, the daily data of Tehran Stock Exchange total index in the period 2011/03/26 - 2022/03/19 were used then extracting the short-term, medium-term and long-term information components of the index return time series, four predictive models of expected fallout (ES) were estimated using Taylor (2017) approach at different time horizons.Findings: The results of estimating the models and back tests show that the expected shortfall (ES) is short-term in nature and the dynamic model using short-term components in the one-day time horizon has the highest efficiency among the introduced models. In addition, the results of comparing the models based on the average loss test show that the use of spectral analysis components increases the efficiency of dynamic predictions of the expected shortfall (ES) at different time horizons.Originality / Value: Finally, according to the results of this study, it is suggested to use dynamic models and signal decomposition analysis algorithms to increase the efficiency of risk criteria predictions. Manuscript profile