systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently … alternatives for VaR forecasting, and they should be preferred when estimating tail risk. The flexibility of the free power …

conditional forecasting of VaR and CVaR, made up of a mixture of two SEP3 densities, can efficiently cover market risk at … compliance with the recent Basel regulation for market-risk …

) can model the conditional forecasting of VaR and CVaR to efficiently cover market risk at regulatory levels of 1% and 2 … regulation for market-risk …

must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are … risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT …

The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible … 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 …

returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of …. An extensive empirical study confirms the COMFORT model’s superiority in terms of multivariate density and Value-at-Risk …