Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence --...

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...