The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …

Pursuing risk-based allocation across a universe of commodity assets, we find diversified risk parity (DRP) strategies … to provide convincing results. DRP strives for maximum diversification along uncorrelated risk sources. A straightforward … way to derive uncorrelated risk sources relies on principal components analysis (PCA). While the ensuing statistical …

and metal price risk factors are found to have explanatory power on the cross-section of currency returns, while commodity … common and oil factors do not. Although stock market risk is strongly linked to currencies in developed countries, the …

We develop a new approach to determine investors' risk compensations for all distributional moments of a security … returns and their compensation for entropy risk. Entropy risk premium (ERP), the difference of entropy under the physical and … risk-neutral measures, indicates the cost to financially hedge against changes in risks associated with the entire return …