PT - JOURNAL ARTICLE AU - Stoyan V. Stoyanov AU - Svetlozar T. Rachev AU - Boryana Racheva-Yotova AU - Frank J. Fabozzi TI - Fat-Tailed Models for Risk Estimation AID - 10.3905/jpm.2011.37.2.107 DP - 2011 Jan 31 TA - The Journal of Portfolio Management PG - 107--117 VI - 37 IP - 2 4099 - https://pm-research.com/content/37/2/107.short 4100 - https://pm-research.com/content/37/2/107.full AB - In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this article, the authors address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and extreme value theory.TOPICS: Tail risks, factor-based models, statistical methods