Residual Entropy Model for Measuring Tail Risk
Xingsi Li · Yunchou yu guanli · 2010
The tail risk measurement is studied in this paper.Firstly,from the viewpoint of information entropy the cumulative residual entropy model and its calculation are given.Then the model with the standard deviation,VaR and other common tail risk measurement methods are compared.The results show that the model is simple,and it does not need to assume the form of prior distribution,but only relys on empirical data.