This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto...

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as full density-based alternatives to the generalized Pareto...

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

Background: Online peer-to-peer lending (P2P lending) is booming as the popularity of e-finance. To develop a conceptual model for the P2P lending process is great valuable for managers to tack the issues of marketing, management and operation. Methods: In this paper, we focus on the P2P lending...

Background: Prosocial crowdfunding helps the underprivileged obtain non-profit seeking loans from multitudinous lenders. Some platforms introduce team competition to motivate member participation and may thus induce team rivalry. Methods: We investigate how team rivalry affects lending decisions...