Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of … Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy … component analysis ; Value-at-Risk …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

diversification rule and naive equal weighting. TEDAS strategies significantly outperform other widely used allocation approaches on … drawdown of the portfolio. Others have suggested dynamic or synthetic strategies as alternatives, which have proven to be …. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …

local BOLD signal. Applying a GLM on the DSFM-based time series resulted in a significant correlation between the risk of … decision-related reactions within the DSFM time series predicted individual differences in risk attitudes as modeled with the …