volatility versus tail risk trade-off based on conditional Value-at-Risk calculations. Our results show that overnight downside … market risk is composed of a moderate volatility risk component and a significant tail risk component. We conclude that … market participants face different intraday versus overnight risk profiles and that a risk assessment based on volatility …

significantly, when an inter-temporal risk parity strategy is applied. Volatility clustering and fat tails are behind this …Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to …