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 …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management …. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self …