.g., Profitability and Investment) perform particularly well when traditional portfolios (e.g., 60/40 or risk parity portfolios) exhibit …

investor base after stock splits. The results are supportive to the risk sharing hypothesis proposed by Peress (2010) who …

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset … prices without relying on any specific model of risk. We obtain a term structure of convenience yields with maturities up to …

The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk … measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our … valuation includes a consideration of liquidity risk in portfolio valuation. Under the new framework, the valuation of a …

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …

capital consumption for each individual client. Compared to Potential Future Exposure (PFE), incremental KVA is more risk … sensitive as i) it is portfolio sensitive and detects cross-selling opportunities, ii) captures wrong-way-risk, iii) accounts … for idiosyncratic features such as granularity and credit risk concentration, iv) measures also other risks besides the …

This paper proposes a framework that decomposes the market risk into three components: upside, downside, and tail risk …. Their risk premiums can be estimated using information from either the index options market or the stock market. The … estimated premiums from both markets share two important properties: 1) The tail risk is highly priced; 2) Once the tail risk is …

analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical … relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk … drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between …

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …