We propose a new 3-step resampling approach to forecast portfolio tail risk conditional on the economic state. The … risk measures using the forecasted joint return distribution. This approach favorably accounts for time variation in the … portfolio tail risk forecasting …

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 proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES …

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. …