Christoph J Börner holds the Chair of Financial Services at the Faculty of Business Administration and Economics at the University of Düsseldorf. Previously, he held academic positions at the universities of Cologne and Mannheim. He is also managing director of the Düsseldorf Business School and member of the rectorate of the University of Düsseldorf. His research, which has been published in renowned national and international journals, focuses on financial risk management and the structures and strategies of financial intermediaries. The research combines empirical and theoretical approaches with an application orientation.
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…