Tail Risk and its Predictive Power

The book is very well written, has a good structure, explains concepts in a crisp and concise manner, and place itself very well in the existing finance literature. First, it uncovers the extreme negative events' risk in the form of power law. Second, it critically analyzes this time-varying tail risk (TVTR) estimator's implications on the aggregate stock market returns. This study is significantly imperative for equity investors owing to the high persistence level of this estimator. The study also compares tail risk estimator predictive power for prtfolio returns as well as aggregate market returns in the US and the Norwegian market.

Autorentext

Kashif, bankir po professii i akademik po uwlecheniü, uzhe bolee desqti let sluzhit kak w banke, tak i w nauchnyh krugah w kachestwe klüchewogo igroka. Kashif - molodoj i änergichnyj issledowatel', imeüschij opyt raboty s professional'nymi lobzikami. Poätomu w buduschem on, skoree wsego, budet pisat' esche bol'she nauchnyh rabot, poswqschennyh neraskrytym aspektam bankowskogo sektora.