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Inflation concerns overtake Covid-19 as top tail risk

Investment Week is hosting its Global Emerging Markets Briefing at a pivotal time for investors as they start to position for the recovery from the Covid-19 pandemic, although risks remain. During this interactive briefing, we will hear from a number of global emerging market managers about their response to the extraordinary events of the past year and their outlook for the rest of the year and beyond. The managers will identify where they are seeing the biggest opportunities and risks at the moment in emerging markets and explain the role their strategies could play in client portfolios. Attendees will also get the chance to network with peers, quiz our speakers, as well as benefit from CPD points

Bank of americaFund manager surveyTail riskCovid 19வங்கி ஆஃப் அமெரிக்காநிதி மேலாளர் கணக்கெடுப்புவால் ஆபத்து

What Is Fat-Tail Risk and What Does It Mean to Investors?

What Is Fat-Tail Risk and What Does It Mean to Investors?
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Girolamo cardanoSixteenth century italianTail riskRenaissance era italyவால் ஆபத்துமறுமலர்ச்சி சகாப்தம் இத்தாலி

Hedge fund of the year: Saba Capital Management

Risk.net Risk Awards 2021: credit specialist proved its worth in the Covid crisis Boaz Weinstein In late 2019, Boaz Weinstein was seeing mispricings in credit markets on a scale he’d never seen before – the kind of twisted values that meant spreads on Sabre, a newfangled travel-tech company, were the same as for a solid credit like fast-food chain McDonald’s. “In my career, I had never seen such a tight packing between double-Bs that you would want to short and single-As you’d want to go long,” he says. By the end of the year and in the opening weeks of 2020, one of the main trades at Weinstein’s Saba Capital Management was to short a basket of riskier high-yield credits and go long a basket of quality names. “The market allowed you to do that basically for zero cost,” he says.

United statesWeinstein sabaPershing squareBoaz weinsteinUnited airlinesSaba capital tail fundRed hatBritish american tobaccoDeutsche bankRoyal caribbeanCapital master fundBasis opportunities fundSaba capital managementCapital tail fundSaba capitalHedge funds

Body and tail: an automated tail-detecting procedure

Data-based tail modeling for risk assessment. Automation and improvement of risk assessment in risk management. Abstract In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, we present a completely automated method that can separate the required subset of data to model the tail. The selected data are used to determine the parameters of the tail model. Notably, no parameter specifications have to be made to apply the proposed procedure in the automatic evaluation of large amounts of data. Standard goodness-of-fit tests allow us to evaluate the quality of the fitted tail model. We apply the method to standard distributions that are usually considered in the finance and insurance industries. We consider the MSCI World Index as our example. We analyze historical data to identify the

Extreme value theory evtRisk managementTail riskOriginal researchஆபத்து மேலாண்மைவால் ஆபத்துஒரிஜிநல் ஆராய்ச்சி