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. …

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 …

consequently calculate Value-at-Risk measures for iTraxx Europe tranches. -- CDO ; multivariate distributions ; copula ; implied … correlations ; Value-at- Risk …

that can be conveniently parameterised by the first two moments. However, with market volatility increasing over time and …. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

aspects. More precisely, our framework captures the risk propagation and dynamics in terms of a quantile (or expectile …) autoregression involving network effects quantified through an adjacency matrix. To reflect the nature and risk content of systemic … risk, the construction of the adjacency matrix is suggested to include tail event covariates. The model is evaluated using …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …