Concepedia

Tail Risk

Tail Risk is a type of financial risk that refers to the probability of extreme losses in the tail of a loss distribution, arising from rare and severe market events that deviate significantly from normal market conditions.

717

Publications

38.4K

Citations

1.3K

Authors

765

Institutions

Publications per year

2017–2026

290

Variants

Tail-risk

Parents

Publications

717

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Alexander J. McNeil, Rüdiger Frey · Journal of Empirical Finance · 2000 · 1.7K citations

, , +16

On the coherence of expected shortfall

Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations

, , +17

Risks and Portfolio Decisions Involving Hedge Funds

Vikas Agarwal, Narayan Y. Naik · Review of Financial Studies · 2003 · 1.3K citations

, , +17

Tails, Fears, and Risk Premia

Tim Bollerslev, Viktor Todorov · The Journal of Finance · 2011 · 855 citations

, , +12

Tail Risk and Asset Prices

Bryan Kelly, Hao Jiang · Review of Financial Studies · 2014 · 797 citations

, , +17

1–5 of 717

Authors

1.3K

  1. ZL
    Zinoviy Landsman

    University of Haifa, Israel

    10 publications · 434 citations

    10

    h-index

  2. QT
    Qihe Tang

    University of Iowa, United States

    9 publications · 580 citations

    9

    h-index

  3. CZ
    Chen Zhou

    Erasmus University Rotterdam, Netherlands

    8 publications · 331 citations

    8

    h-index

  4. NN
    Nassim Nicholas Taleb

    New York University, United States

    8 publications · 402 citations

    8

    h-index

  5. RG
    Richard Gerlach

    The University of Sydney, Australia

    7 publications · 177 citations

    7

    h-index

1–5 of 1.3K

Institutions

765

  1. National Bureau of Economic Research

    Cambridge, United States

    19 h-index

    46 publications

    3.8K citations

  2. New York University

    New York, United States

    17 h-index

    27 publications

    1.6K citations

  3. University of Waterloo

    Waterloo, Canada

    15 h-index

    26 publications

    1.1K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    15 h-index

    22 publications

    961 citations

  5. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    15 h-index

    22 publications

    1.7K citations

  6. Columbia University

    New York, United States

    14 h-index

    20 publications

    1.1K citations

  7. Federal Reserve Board of Governors

    Washington D.C., United States

    13 h-index

    25 publications

    2.3K citations

  8. Federal Reserve

    Washington D.C., United States

    12 h-index

    24 publications

    2.3K citations

1–8 of 765

Venues

  1. SSRN Electronic Journal

    Repository · 130 publications · 4.3K citations

    34

    h-index

  2. Insurance Mathematics and Economics

    20 publications · 830 citations

    17

    h-index

  3. Journal of Banking & Finance

    14 publications · 2.2K citations

    13

    h-index

  4. Energy Economics

    13 publications · 537 citations

    13

    h-index

  5. North American Actuarial Journal

    NAAJ · 13 publications · 546 citations

    12

    h-index

1–5