the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which …

stockholders' consumption risk has strong predictive power for market returns with 39% in-sample and 19% out-of-sample R …' consumption risk explains 40% of the cross-sectional average returns. Stockholders' consumption risk also partially explains the …' consumption risk reverses the findings in the literature using aggregate consumption risk: stockholders' consumption risk varies …

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 …

Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant … manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk …, which tail risk protection strategies were considered in the literature, their effectiveness and associated costs. We also …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …

Risk assessments often encounter extreme settings with very few or no occurrences in reality. Inferences about risk … levels of risk in the context of simultaneous monitoring of multiple risk indicators. The proposed threshold system is well … threshold system assigns different risk levels to observed airline performance measures. In particular, it divides the sample …

In cargo logistics, a key performance measure is transport risk, defined as the deviation of the actual arrival time … the conditional (i.e., state-dependent) density function of transport risk. We demonstrate that using alternative methods …