Tail Risk Management

Volume: 34, Issue: 4, Pages: 68 - 75
Published: Jul 31, 2008
Abstract
In the current deleveraging episode, the severity and simultaneous realization of low-probability events across a number of strategies has brought portfolio tail-risk hedging to the center of investors9 attention. In this article, the author discusses the basic principles and implementation considerations behind portfolio tail-risk management, emphasizing the importance of viewing tail risk as the consequence of a systemic shock during which...
Paper Details
Title
Tail Risk Management
Published Date
Jul 31, 2008
Volume
34
Issue
4
Pages
68 - 75
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