endogenous aggregate risk. This risk induces an endogenous regime-switching process for output, the risk-free rate, excess …

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a …

findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables … exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail … risk. Additionally, we find strong links to the equity markets, but also co-movements to macroeconomic factors. Left or …

Despite the use of VaR as a means to control risk, using VaR can have the opposite effect. VaR is used by bank and … insurance regulators more than any other risk measure. A value-at-risk (VaR) constraint on the probability that future firm …