This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures …, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect investor wealth …

these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user’s risk …-aversion function. It compares these to more familiar VaR and Expected Shortfall (ES) measures of risk, and also compares the precision … and discusses the relative usefulness of each of these risk measures in setting variation margins that incorporate time …

this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and … method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find … that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the …

convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six …

The use of absolute return volatility has many modelling benefits. An illustration is given for the market risk measure …

(psychopathy, Machiavellianism and nihilism). The students also responded to questionnaires to assess their attitudes toward risk … psychopathic, Machiavellian and nihilistic traits in the sample, and also that risk seekers were antisocial. Additionally, we found … who were anxious tend to be nihilists. Moreover, boys born from younger mothers were more risk seeking than girls born …