The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

of financial assets proves their effectiveness in modeling multivariate financial series and assessing risk measures …, such as the value at risk and the expected shortfall. …