We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which … the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …

optimization, where the measure of risk is the Conditional Value-at-Risk (CVaR). -- portfolio optimization ; CVaR ; climate change …

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset …-diffusions and completely monotone Levy processes. We derive analytical results for the iVaR and disentangle the risk contribution of …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a …