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 …

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a … market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management …

This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence … the definition of five fundamental criteria that serve as a basis for our method. Standard risk measures, such as value-at-risk … and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples …