Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with … copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss … how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and …

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of … uncertainty risk on the transmission mechanism among macroeconomic sectors. The empirical research found that uncertainty risk …

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …