This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium … and uncover important time variations in the dynamics of the risk premium. We also estimate risk premia of the stock and …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

Managing the risk associated with uncertain load has always been a challenge for retailers in electricity markets. Yet …-generation, constitutes a new and yet greater volume risk. Using value-at-risk metrics and Monte Carlo simulations based on German historical …

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal … Treatment Property and Strong Monotonicity. Core Compatibility can be viewed as the allocated risk to each coalition (subset) of …

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …

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 …

sensitive to one mean-reversion length risk. Expected return is defined by mean-reversion risk premiums and betas. Mean …) describes single period risk with long horizon contributions in the frequency domain. Mean-reversion risks correspond to horizon … variances. Mean-reversion risk is measured using the Fourier decomposition of finite length digital returns. Mean-reversion risk …

We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the …) performs the best overall. While some other tail risk measures excel at specialized tasks, BT11Q performs well in all tests …