systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently … alternatives for VaR forecasting, and they should be preferred when estimating tail risk. The flexibility of the free power …

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 …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … long-term data from the Standard & Poor's 500, we show that these strategies offer an improvement in risk-adjusted return … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail-risk …

This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …