{"id":"W3125157003","doi":"","title":"Systematic tail risk","year":2013,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Bank of Canada; Government of Canada","funders":"","keywords":"Tail risk; Econometrics; Economics; Tail dependence; Systematic risk; Portfolio; Extreme value theory; Crash; BETA (programming language); Risk premium; Financial economics; Statistics; Mathematics; Multivariate statistics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002896837,0.0007805504,0.0007479777,0.002077548,0.0003966633,0.001270221,0.0008369168,0.00116218,0.01136893],"category_scores_gemma":[0.02549304,0.0002738741,0.0008467077,0.001565665,0.0008265608,0.00174107,0.001378426,0.001023893,0.001758466],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003761119,"about_ca_system_score_gemma":0.000572828,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001030565,"about_ca_topic_score_gemma":0.0008699516,"domain_scores_codex":[0.9983449,0.0002561636,0.0001446502,0.0003694059,0.0006078482,0.0002771506],"domain_scores_gemma":[0.9681986,0.01322451,0.01015859,0.004587072,0.002349653,0.001481631],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"not_applicable","study_design_scores_codex":[0.0009413707,0.0004227342,0.8262922,0.0003495847,0.0007297505,0.001091064,0.0005016363,0.01844735,0.01231059,0.03786233,0.005538655,0.09551264],"study_design_scores_gemma":[0.0001641048,0.001785442,0.7255788,0.0003114118,0.0006365961,0.004785459,0.0004331651,0.1006587,0.01899971,0.136583,0.009852847,0.0002106838],"study_design_candidate":"not_applicable","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9212096,0.001140103,0.05581312,0.0003630625,0.00009528622,0.0001342651,0.002929568,0.0005834884,0.01773141],"genre_scores_gemma":[0.994536,0.0001496859,0.002561358,0.00007730001,0.00004705221,0.00003338615,0.0007788106,0.00003067857,0.001785751],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01136893,"threshold_uncertainty_score":0.03803289,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04085914301525576,"score_gpt":0.2661300085155613,"score_spread":0.2252708655003055,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}