Boryana Racheva-Iotova
- Special Report
Portfolio Construction: Risk as a profit centre
Managing and monitoring tail risk is not just about insuring against extreme losses. Boryana Racheva-Iotova describes the potential for expected tail loss measures to feed into tactical portfolio optimisation where variance is traditionally deployed
- Features
The emergency room
Fat-tailed models need to adapt well in normal market conditions and differentiate between asset classes. Boryana Racheva-Iotova compares fat-tailed models with GARCH based on stable Paretian distributions, t-distributions and extreme value theory
