Worst-case analysis has increased in popularity among financial regulators in the wake of the recent financial crisis. In this paper we provide insight into this measure and provide some guidance on how to estimate it. We derive the bias for the non-parametric heavy tailed order-statistics and...

The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing the asymptotic mse, that do not perform well in finite samples. Here we advance a data driven method that minimizes the maximum distance between...

We study the impact of five key Fed policy responses to the Covid-19 crisis on the stock market's fear of loss and fear of variability. Using a unique global dataset of option prices to construct the term structures of fear, up to ten years into the future, we find that FX swap lines have the...