the notion that T-bills and other cash proxies, such as money market funds and bank deposits, are the lowest-risk assets …

well-functioning marketplace will also exist in the future. Market liquidity risk is the risk that the market will function … effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises …

AutoRegression (VAR) and a fully structural Dynamic Stochastic General Equilibrium (DSGE) model, at forecasting financial returns. We … show that the DSGE model outperforms the unrestricted VAR at forecasting financial returns in the long term and generates …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk … measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the … specification and estimation uncertainty. We propose a general adjustment of the Value-at-Risk to compute risk measures robust to …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … long-term data from the Standard & Poor's 500, we show that these strategies offer an improvement in risk-adjusted return … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail-risk …

-augmented Quantile Projections. Our key finding is that forecasts obtained with AR and factor-augmented VAR forecasts significantly …