I believe that the most striking feature of the economics of climate change is that its extreme downside is nonnegligible. Deep structural uncertainty about the unknown unknowns of what might go very wrong is coupled with essentially unlimited downside liability on possible planetary damages. This is a recipe for producing what are called ‘‘fat tails’’ in the extremes of critical probability di...

We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student’s t, and generalized Gaussian laws and discuss implications for the modeling o...

Abstract Using a unique dataset of daily returns 89 programmes Commodity Trading Advisors (CTAs), we investigate the distributional properties CTA strategies including trend following, fundamental and contrarian strategies. We find that data exhibits strong features fat-tail, volatility clustering, long memory in volatility. This is different from previous studies which are often based on month...

introduction one of the animal breeding aims is increasing the economic efficiency. therefore, mating among selected animals in order to enhance economic efficiency should also supply variation in population for next generations’ selection. this study was performed to estimate performance in cross breed lambs resulting from crosses of shal, moghani, afshari and varamini rams with varamini ewes,...

Despite extensive literature consisting of many excellent academic and practical papers, there are still many commonly heard fallacies in practice such as: “To aggregate risks, all I need are correlations”. “I assume dependence/independence, hence there is no copula”. “I need to use a Variance-Covariance approach with tail-end correlations to capture fat tails and tail dependence”. “The mere ex...

The composition of non-carcass thin-tailed sheep fed Indigefera zollingeriana with different rearing systems, was evaluated using twenty an average initial body weight 18.3 ± 2.01 kg. variables observed in this study included the head, feet, skin, tail, liver, spleen, lungs, heart, kidneys, rumen, reticulum, omasum, abomasum, intestines, empty viscera and omnetal fat. design used a factorial co...

Why does the Maxwell-Boltzmann energy distribution for an ideal classical gas have an exponentially thin tail at high energies, while the Kaniadakis distribution for a relativistic gas has a power-law fat tail? We argue that a crucial role is played by the kinematics of the binary collisions. In the classical case the probability of an energy exchange far from the average (i.e., close to 0% or ...