-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk … scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such … situations. Here we present a novel localized multivariate CAViaR-type model to respond to the challenge of time-varying risk …

In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved … addition, we undertake inter-sectoral and inter-temporal analyses using the risk factors in our AFFM. Our results show our AFFM … captures the greatest proportion of returns relative to other models. Further, stock market risk factors (most notably the …

estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible …

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

We examine how a firm's operational slack is associated with current income and future stock price crash risk. By doing … Slack, which is based on excess working capital, is associated with higher current profits and higher future crash risk …, general, and administrative expenses, is associated with lower current income and lower future crash risk. This evidence is …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …