Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

A number of studies have found that the cross-section of stock returns reflects a risk premium for bearing downside … risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a … novel measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

investment's Value-at-Risk as a reasonable calculation of the worst threat an action appears to make possible, and its return … offer. In exploring the extension of the Value-at-Risk approach from applications to investments in financial assets to … applications to investments in real assets, the properties of Value-at-Risk as a risk measure are reviewed. Recognizing that Value-at-Risk …

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … normally and fat tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the … case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably underestimate the true …