which data are discarded, leading to estimation inefficiencies. To solve these issues, we extend the tail regression model … issues at the estimation stage. We illustrate the superiority of our approach for inference over classical peaks … stability index, and credit spreads. Moreover, sorting funds along exposure to our tail risk measure discriminates between high …

We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the …) performs the best overall. While some other tail risk measures excel at specialized tasks, BT11Q performs well in all tests …

This study proposes a new approach for estimating value at risk (VaR). This approach combines quasi …