Accurate estimation of different risk measures for financial portfolios is of utmost importance equally for financial institutions as well as regulators, however, many existing models fail to incorporate any high dimensional dependence structures adequately. To overcome this problem and capture...

Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minimization of two asymmetric deviation measures,...

The Conditional Value-at-Risk (CoVaR) proposed by Adrian and Brunnermeier (2016) - which quantifies the impact of a company in distress on the Value-at-Risk (VaR) of the financial system - has established itself as a reference measure of systemic risk. In this study, we extend the CoVaR along...