Defining extreme liquidity as the tail of the illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that it is priced cross-sectionally in the U.S. Between 1973 and 2014, the stocks with low extreme liquidity risk beta earned value-weighted average...

We consider a portfolio optimization problem of the Black-Litterman type, in which we use the conditional value-at-risk (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We...

In diesem Buch werden Konzepte zur Quantifizierung von Marktrisiken dargestellt. Im Rahmen der im ersten Kapitel vorgestellten Portfoliotheorie werden Kapitalanlagen charakterisiert, die nach Vorgabe eines Risikos eine möglichst hohe erwartete Rendite versprechen. Risiko wird hier definiert als...

This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR) and conditional value-at-risk (CVaR). Comparing a bubble and non-bubble economy, it is shown that asset price bubbles cause (i) a firm's VaR and CVaR to decline, but (ii)...