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Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns
Hamed Farahani / R. A. Serota
statistics / tail riskResource overview

Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns

Paper2025

by Hamed Farahani, R. A. Serota

Tags
statisticstail risk

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Suggested foundations for probability and statistical reasoning and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Conditional Expectation

    Interpret expectations after information is observed.

  3. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

  2. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  3. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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