measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel …

year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or … forecasts of future risks is fraught with estimation error and bound to induce regulatory arbitrage. The simplest remedy with …