This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while the tail risk of the market index did not respond...

Many investors assign part of their funds to asset managers of mutual funds who are given the task of beating a benchmark. Asset managers usually face a constraint on maximum Tracking Error Volatility (TEV), imposed by the risk management office to keep the risk of the portfolio close to that of...

I present desirable features for a risk metric, incorporating the coherent risk framework and empirical features of markets. I argue that a desirable risk metric is one that is coherent and focused on measuring tail losses, which significantly affect investment performance. I evaluate 5 risk...

Many methods exist for assessing and managing the risk of a portfolio. This article is about risk metrics and the ways investment consultants commonly apply these measurements to portfolio selection and evaluation. Two popular approaches to risk measurement and evaluation are compared: the...

Over the last decade, institutional investors have posted some of the best long-term returns on record. Is it wise for investors to extrapolate these gains into the future, or is now a good time to consider downside protection? In this paper we analyze the current market risks and how tail risk...

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...

This paper mainly focuses on the correlation between live hedge funds return and their value at risk (VaR), which is based on the historical data from May 2000 to April 2010. The authors adopt portfolio level analyses and fund level cross-sectional regression, and find that there is significant...

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the...

Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

This paper compares returns of ETFs holding physical commodities and ETFs holding derivative products to their respective spot commodity returns to identify significant performance differences based on the ETF assets. We regress ETF returns on spot commodity returns to estimate beta and R2...