One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

We propose new systematic tail risk measures constructed using two different approaches. The first extends the … market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for … other measures of downside risk, including downside beta, co-skewness and co-kurtosis. Using these measures, we examine the …

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

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

Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile- based risk measures adopted in financial … regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk … events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …