environment interspersed by corrections increasing in amplitude and frequency. This calls for more adaptive dynamic risk … risk that should accurately be estimated is crash risk.This article applies the Log-Periodic Power Law Singularity (LPPLS …) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five …

, heavy tails, and nonellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio … optimization with active risk monitoring. The former selects optimal portfolio weights. The later, independently, initiates market … leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk …

crises deduced from these backtests. Our indicator quantifies how much is the measurement error issued by a systemic risk …This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it … possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to …

provides useful information to warn of an imminent crash risk …

liquidity risk on the carry trade, which is a popular trading strategy that borrows in low interest rate currencies and invests … (exposure to) liquidity risk. A liquidity risk factor has a strong impact on daily carry trade returns from January 2007 to … December 2009, suggesting that liquidity risk is priced in currency returns. Finally, we provide evidence that liquidity …

stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors …