We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … the choice of the BLD profile and, therefore, in the range of relevant quantiles. Special attention is given to piecewise …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

overview on the short-term portfolio tail risk contribution of six widely-traded cryptocurrencies. Considering the high …, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR … how the contribution to portfolio returns is not representative of the real grade of risk diversification. …