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 …

bear markets and crashes. Thus, it was indeed a good measure of the hedge against market risk. This plain beta also …-beta. Stocks with higher ex-ante down-betas did not earn a positive risk premium. We conclude that ex-ante down-betas were neither … useful hedging nor useful risk-pricing measures …

We evaluate popular measures of hedge fund tail risk such as maximum drawdown (MDD) and worst one-period loss, and … prove theoretically that realized tail risk is a downward-biased estimator of true tail risk. The bias can be almost 100 …% using a reasonable calibration. That is, true tail risk can be twice as large as its conventional estimator (realized tail …

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 …

-asset classes and factors and test the long-term performance of U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity … measured risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower … expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their …

the end of June 2009. Since hedge funds have been marketed to investors as risk diversifiers in addition to being return …

, heavy tails, and nonellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio … optimization with active risk monitoring. The former selects optimal portfolio weights. The later, independently, initiates market … leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk …

crisis. The increased cross-market integration has important practical implications for risk management of global equity …

We consider an investor whose objective is to trade off tail risk and expected growth of the investment. We measure … tail risk through portfolio's expected losses conditioned on the occurrence of a systemic event: financial market loss … adjustment for systemic risk. We show that VaR and CoVaR confidence levels control, respectively, the relative sensitivity of the …