Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk … shows that both financial effects increase significantly during crises. Strikingly, the risk-return tradeoff is … international stock markets confirm the increase in the leverage effect, whereas the international evidence on the risk …

interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to …

worry in the capital markets. Financial institutions and other companies around the world have been affected by volatility …