RedES™, a Risk Measure in a Pareto-Lévy Stable Framework with Clustering

Riccardo Donati () and Marco Corazza ()
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Riccardo Donati: Redexe S.r.l.
Marco Corazza: Ca’ Foscari University of Venice, Department of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 91-94 from Springer

Abstract: Abstract In this communication: (1) we present RedES™, an Expected Shortfall based risk measure developed in the framework of the Pareto-Lévy stable distributions with clustering; (2) we apply it to about 3,000 equity stocks. The results show that RedES™ is able to take into account the fat tail effects in a robust manner.

Keywords: RedES™; Pareto-Lévy stable distributions; Clustering; Equity stocks (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_21

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DOI: 10.1007/978-3-319-05014-0_21

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