We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …

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 …

for systemic risk assessment in countries vulnerable to oil market shocks. We illustrate the procedure using the dynamic …

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 …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

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 …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …