assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC …/HACCP) in 1996 and the Food Modernization Act in 2010, to reduce food-safety risk, retail meat facilities continue to experience … evaluate the effectiveness for three strategies that are used by retail meat facilities. Copula value-at-risk (CVaR) was …

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

calculation of the value at risk and the expected shortfall of the investment portfolio in the related multivariate stochastic …

stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash … determinants is helpful for investment decisions and risk management. In this study, we use samples of major market index … findings suggest that ESG disclosures lower future stock price crash risk; however, the effect and predictive power of ESG …

This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …