In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...

Using a value at risk methodology, VaR, we demonstrate the extent to which the mean-variance approach underestimates the tail risk of the probability distribution. We compare the long and short - run performance returns after fees deduction with the expected losses that are recorded at...