This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

We propose new systematic tail risk measures constructed using two different approaches. The first extends the … market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for … other measures of downside risk, including downside beta, co-skewness and co-kurtosis. Using these measures, we examine the …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

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 …

risk prices, and has large effects on stocks with highly subjective valuations and are difficult to arbitrage. Exposure to …

the "fuzziness" with which financial (in)stability can be measured. We review the available measurement methodologies and … measurement does not prevent further progress towards an operational framework, as long as it is appropriately accounted for … stabilisers rather than discretion, thereby lessening the burden on the real-time measurement of financial stability risks; and …

. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit … both methodologies tend to overestimate risk in turbulent period. Further, non-linear effects between CDS spreads in …