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

Risk Seminar
Apr 4, 2017 11:00am to 1:00pm
639 Evans Hall
Happening As Scheduled
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
Speaker: Farzad Pourbabaee (Speaker - Featured)