This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm … adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate … Conditional Value at Risk (CVaR). This method is applied to the S&P 500 and MSCI Emerging Markets equity indexes between 2001 and …

suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of …