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 …

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 …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … ARMA-GARCH equations based on the student t distribution. Second, we extract the filtered residuals from such estimation … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk … volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … referred gains range from 4 to around 150 basis points of minimum capital risk requirements. This research documents the …

We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which … the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …