Gennady Samorodnitsky

Cornell University

School of Operations Research and Industrial Engineering; Department of Statistical Science

Ithaca, NY 14853

United States

SCHOLARLY PAPERS

3

DOWNLOADS

1,102

SSRN CITATIONS
Rank 46,200

SSRN RANKINGS

Top 46,200

in Total Papers Citations

1

CROSSREF CITATIONS

14

Scholarly Papers (3)

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 745 (42,197)
Citation 5

Abstract:

Loading...

Multivariate Extremes, Aggregation and Risk Estimation

Posted: 28 Sep 2001
Olsen & Associates, RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank and Cornell University

Abstract:

Loading...

2.

Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case

Probability and Mathematical Statistics, Vol. 26, No. 1, pp. 1-22, 2006
Number of pages: 25 Posted: 21 Dec 2010
Charles Schwab, Cornell University, Texas Tech University and University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Downloads 350 (108,392)
Citation 1

Abstract:

Loading...

stable distributions, heavy tails, coherent risk measures, conditional value-at-risk, expected tail loss

3.

Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals

Bundesbank Series 1 Discussion Paper No. 2005,21
Number of pages: 56 Posted: 08 Jun 2016
Jeong-Ryeol Kurz-Kim, Svetlozar Rachev and Gennady Samorodnitsky
Deutsche Bundesbank, Texas Tech University and Cornell University
Downloads 7 (740,972)

Abstract:

Loading...

Asymptotic distribution, rate of convergence, stochastic regressor, stable non-Gaussian, finite or infinite variance, heavy tails