This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected … shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as … 2007-2008, we fnd that the simplicity of tail-based risk management with a tail-targeting EV model is more attractive …

funding risk, I show that funds with a high exposure to market-wide funding shocks - measured by changes in Libor-OIS spreads … - subsequently underperform funds with a low exposure to market-wide funding shocks by $5.99\%$ annually on a risk-adjusted basis (t …=3.53). In line with my theory, the performance difference between low-funding-risk and high-funding-risk funds is …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

This article computes the returns from dynamic hedging of the interest rate and prepayment risks of insured fixed rate … investigated. Hedges are found to be risk-reducing, but imperfect, with significant basis risks. Dynamic hedges outperform static …

Using a Bayesian time‐varying beta model, we explore how the systematic risk exposures of hedge funds vary over time … expected and unexpected hedge fund returns are correlated with systematic risk factors through the beta dynamics. Such a system … also provides a useful way of (a) inspecting how and through which channels systemic risk propagates over time; (b …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …