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 …

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We … introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a …

Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under … prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures: Value-at-Risk …

Within the finance literature there is an apparent gap between the inherent risk premium ignorance of a risk parity … approach on the one hand and the assumed risk premium clairvoyance of a mean variance approach on the other. We propose a … confidence in one's risk premium estimates, the optimal portfolio will be tilted more towards the risk parity portfolio or to the …

This paper demonstrates that existing quantile regression models used for forecasting Value-at-Risk (VaR) and expected … open-faced sandwich (OFS) method is proposed which improves uncertainty quantification in risk forecasts. Simulation and … empirical results highlight the improvements in risk forecasts ensuing from the proposed methods …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …