Directional entropy and tail uncertainty, with applications to financial hazard

摘要: “Mine is a long and sad tale”, said the Mouse, turning to Alice sighing. “It tail certainly,” Alice, looking down with wonder at Mouse's tail; “but why do you call it sad?” And she kept on puzzling about while mouse was speaking … Financial risk management metrics such as value (VaR) can be illuminated by means of regime-specific concept directional entropy. This enables change measure via rescaling function an equivalent logistic distribution, one that has same total entropies chosen critical point. VaR adjusts probability capture The scaling used comparative metric for length, or conditional risk, even where moments not exist. Directional entropy also identify regions maximal exposure new information, which actually increase rather than collapse it.