This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing … methodology for kurtosis swaps. The expected excess returns on such swaps are interpreted as higher-moment risk premia. I find … evidence supporting an increase in tail risk when variance is low and expectations about economic growth are positive. In such …

stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were … proposed as an indicator sensitive to the pertinent risk of financial investment. However this measures are indifferent to … extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index …

I examine the impact of financial sector stress on risk sharing in a novel setting: the CME's weather derivatives … financial sector stress, the risk premium on futures and implied volatility of options increase significantly. The effects are … greatest for high margin and high total risk contracts. Consistent with a decline in the supply of financial capital during …

-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

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 …

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation …

This study provides an overview of the model evolution and research trends in the field of financial and risk modelling …