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 …

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 …

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 …

We investigate the relation between various alternative risk measures and future daily returns using a sample of firms … seem to care more about downside risk than total risk. Motivated by these findings and mixed empirical evidence supporting … theoretical positive risk-return relationship, we model the relation between future returns and risk measures and investigate the …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … risk measures in the case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term … structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets …