these options. The signs of the estimated risk premia are consistent with theory, their economic magnitudes show that a long …

We propose a conditional model of asset returns in the presence of common factors and downside risk. Specifically, we … states; we show how to recover the observable factors' risk premia from the estimated latent ones in different states. The …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …

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 …

copulas tend to understate them. Since risk aversion and efficient markets suggest that investors should demand a premium for …

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 …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …