. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

dynamic relation between market risk and credit risk in an equilibrium framework with a common non stationary factor. This … market risk and credit risk and predominant price leadership in the VIX market. CDS spreads can thus be replicated through … risk by building a pairs arbitrage strategy whose profits are driven by the common price discovery factor. The respective …

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …

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 … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

5 to 7 years, to study the nature of the link between credit risk and market risk, widely acknowledged in the academic …

Risk assessments often encounter extreme settings with very few or no occurrences in reality. Inferences about risk … indicators in such settings face the problem of insufficient data. Extreme value theory is particularly well suited for handling … this type of problems. This paper uses a multivariate extreme value theory approach to establish thresholds for signaling …

In this paper we define a new dynamic approach for measuring the Cash- Flow-at-Risk of a firm. Starting from the … records, we define a new risk measure, tailored on our dynamic approach, which takes full advantage of its focus on the …

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 … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels …