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 …

methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …