Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … detailed comparative analysis with tech-stocks. Comprehensive research on stylized facts confirmed high risk for both …

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …