This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

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 …