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

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk … measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

, 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 …

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …

implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the … existence of wide- spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for … synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to …

implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the … existence of widespread risk-taking incentives in the investment fund sector, with a particular focus on incentives for … synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to …

In this paper, we put forth the notion of “Crisis Utility” as a way of estimating the tail risk of an asset or … risk since it incorporates the concept of “resiliency,” or recovery rate, as well as the traditional concept of maximum … investors adjust their allocation models to account for tail risk, all else being equal and free of constraint. We also analyze …