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 …

related to less liquid financial assets from emerging markets. Since investment decisions are based on risk preferences and … investors are commonly risk averse, they tend to limit their risk exposure while defining their investment strategy. Various … risk measures can be used to estimate the level of risk. Value at Risk (VaR) is a widely accepted summary measure of market …

The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional … extreme value model, are used to calculate commodity market risk at extreme quantiles: 0.95, 0.99, 0.995 and 0.999 for both …

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …

financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic … climate risk and the climate policy risk, which all of them may affect the markets directly or indirectly. The perspective is … market valuation of the climate risk. …