Seminar 217, Risk Management: Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation

Seminar 217, Risk Management: Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation

Risk Seminar
Apr 4, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Farzad Pourbabaee (Speaker - Featured)
Abstract: I analyze the large deviation probability of factor models generated from components with regularly-varying tails, a large subclass of heavy tailed distributions. Link to paper

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