. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile … measure, VaR disregards valuable information conveyed by the sizes of tail losses. As a result, there is tail risk in the use … of VaR in practice. Saddlepoint technique is used to backtest tail risk of VaR by summing all the tail losses …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical … relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk … drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between …

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 …

Surveys of corporate risk management document that selective hedging, where managers incorporate their market views … strength to withstand the additional risk from market timing. We study the practice of selective hedging in a 10-year sample of … link between selective hedging and managerial compensation. -- Corporate risk management ; selective hedging ; speculation …

, also affects corporate risk management. We find that managers increase their speculative activities using derivatives … attributed to bad luck. Thus, our results show that managerial behavioral biases can also impact corporate risk management …. -- corporate risk management ; behavioral biases ; managerial overconfidence ; speculation …

-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …