This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …