We measure the economic risk of epidemics at a geo-spatially detailed resolution. In addition to data about the …’s resilience (its ability of the recover rapidly from the shock). We find that the economic risk of epidemics is particularly high …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

We measure the economic risk of COVID-19 at a geo-spatially detailed resolution. In addition to data about the current … prevalence of confirmed cases, we use data from 2014-2018 and a conceptual disaster risk model to compute measures for exposure ….e., its ability of the recover rapidly from the shock). We find that the economic risk of this pandemic is particularly high …

worth, the evaporation of liquidity and rising risk premia are the key channels through which geopolitical uncertainty …