This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed … banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and … Said (2013) (El Qalli & Said, 2023), to measure the marginal risk of each component. Additionally, we analyze extreme …

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 …

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 …

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 …

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 …

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 …