Using a comprehensive range of metrics, this article determines how relative market and credit risk change among European sectors during extreme market fluctuations. Differences are found between conditional and nonconditional outcomes, and sectors which were most risky prior to the Global...

Value at Risk (VaR) is the metric adopted by the Basel Accords for banking industry internal control and regulatory reporting. This has focused attention on the measuring, estimating and forecasting of lower tail risk. Engle and Manganelli (2004) developed the conditional autoregressive value at...

The extent of the winner-loser anomaly on the Austalian equities market for the period 1974-91 is examined. Documentation of the contrarian strategy is argued as being invalid unless compensation is made for changing risk premiums through time. The evidence shows a slight reversal for the winner...