To read the full version of this content please select one of the options below:

Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena

SERGIO M. FOCARDI (Partner at The Intertek Group in Paris. inlerteksf@aol.com)
FRANK J. FABOZZI (Frederick Frank Adjunct Professor of Finance at the School of Management at Yale University. fabozzi321@aol.com)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 1 April 2003

Downloads
232

Abstract

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

Citation

FOCARDI, S.M. and FABOZZI, F.J. (2003), "Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena", Journal of Risk Finance, Vol. 5 No. 1, pp. 5-26. https://doi.org/10.1108/eb022976

Publisher

:

MCB UP Ltd

Copyright © 2003, MCB UP Limited