This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while the tail risk of the market index did not respond...

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...

This paper mainly focuses on the correlation between live hedge funds return and their value at risk (VaR), which is based on the historical data from May 2000 to April 2010. The authors adopt portfolio level analyses and fund level cross-sectional regression, and find that there is significant...

This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture distributions. Asset return distributions are frequently assumed to follow a normal or log normal distribution. It also can follow Brownian motion or Geometric Brownian motion...

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant...

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

Many methods exist for assessing and managing the risk of a portfolio. This article is about risk metrics and the ways investment consultants commonly apply these measurements to portfolio selection and evaluation. Two popular approaches to risk measurement and evaluation are compared: the...

It is well known that investors usually assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. On the other hand, the risk management off ice could impose some restrictions to the asset managers' activity in order to maintain the overall portfolio...

Many investors assign part of their funds to asset managers of mutual funds who are given the task of beating a benchmark. Asset managers usually face a constraint on maximum Tracking Error Volatility (TEV), imposed by the risk management office to keep the risk of the portfolio close to that of...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...