We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of … ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more …

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few … underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR …

This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely … last 250 days reflect a calm market for which the efficient-market hypothesis could hold. Thus it is argued that a value-at-risk … argumentiert, dass es sinnvoll wäre, im regulatorischen Kapital das Maximum der Value-at-Risk (VaR) aus beiden Ansätzen zu …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

We study the magnitude of tail risk --- particularly lower tail downside risk --- that is present in intraday versus … overnight market returns and thereby examine the nature of the respective market risk borne by market participants. Using the … that overnight return innovations exhibit significant tail risk, while intraday innovations do not. We illustrate this …

We investigate the stock return volatility predictability using firm’s fundamental risk with machine learning … fundamental risk in forecasting future volatility. The nonlinear models, especially the neural networks, outperform the linear … types. Firms with high expected volatility have higher fundamental risk and commonality in fundamental characteristics …