Investors have increasing interests in sophisticated yet transparent analytic tools to handle model uncertainty, tail risk and market dynamics. This paper demonstrates how macroeconomic factor models, based on Bayesian model averaging (BMA), can help address the challenges in some specific...

Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model averaging methods in quantile regressions, and allow for different predictors to affect different quantiles of the dependent variable. I...

We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures the uncertainty about the probability distribution generating the data, while the second measures uncertainty about the odds of the outcomes when the probability distribution is...

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify the pro-cyclicality of the current way financial...

We construct measures of uncertainty and its dispersion exploiting the heterogeneity of a large set of model predictions. The approach is forward-looking, can be computed in real-time, and can be applied at any frequency. We illustrate the methodology with expected shortfall predictions of...

This paper assesses and compares multi-factor continuous time affine mortality models applied to age-cohort mortality curves that are well suited for theoretical and practical application in finance and insurance. Models based on Gaussian distributed mortality rates, as well as the...

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio risk measures are vulnerable to larger skewness...