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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Risk Measures and tail risk |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 51 |
| Date | 2017 |
| Abstract Text | The concept of \tail risk" is of fundamental importance for quantitative risk management since it refers to those economic scenarios which are particularly relevant from a liability holders' perspective and thus also from a regulatory point of view. Recently, this has been explicitly acknowledged by the Basel Committee on Banking Supervision. However, a clear definition of the notion of \tail risk" is missing in the risk measure literature. This thesis gives a formal definition of \tail risk" and links it to the economic intuition behind the word \tail". Based on this, \tail risk measures" and \tail acceptance sets" are introduced. Then, the notion of a \generator" is used to construct explicit tail risk measures, to investigate their properties and to derive representation results. These findings are complemented by a critical discussion of the introduced concepts. Thereby, the thesis examines and refines the work by Fangda Liu and Ruodu Wang presented in \A Theory for Measures of Tail Risk" (Preprint, 2016). |
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