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-return relationship identified by Bali, Demirtas, and...

In response to the Subprime Mortgage crisis, the Basel Committee on Banking Supervision (BCBS) has spent the previous decade overhauling the regulatory framework that governs how banks calculate minimum capital requirements. In 2019, the BCBS finalized the Basel 3 regulatory regime, which...

We argue that the practise of valuing the portfolio is important for the calculation of the VaR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the VaR and in an empirical...

Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk...

This paper constructs Tail Risk-Managed (TRM) portfolios in real time, where the scaling of exposures to factors is determined by forecasts of probabilities of VaR violations. Using a set of US Fama-French factors and a set of International equity portfolios, we show that TRM portfolios achieve...

Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of interest and their joint distribution are less addressed. To quantify systemic...