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 this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … proposed methods based on the Box-Cox transformation, L-moment estimation and the Johnson system of distributions. We find that …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …

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

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

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 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 …-hoc (equal) weighting algorithm for the four components of the index, with one based on an estimation algorithm using Disability …

. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …