This paper analyses and develops insights to systematic risk and diversification when random, imperfectly dependent …, losses are aggregated. Systematic risk and diversification are shown to vary across layers of component losses according to … local dependence and volatility structures. Systematic risk is high and diversification is weak overall if high risk layers …

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 …

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not … only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only … risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of …