We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which … the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …

not understand that the rebalancing strategy adds risk. Rebalancing is similar to starting with a buy and hold portfolio … asset returns. The expected return from rebalancing is compensation for this extra risk. We show how a higher …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … model risk for the original market. If the market can not be completed, as it is the case in most market models that allow … for jumps, we derive measures that are applicable in a more general setup. In a case study we measure the model risk that …

Analytical portfolio risk calculations can be derived and computed in matrix form. Since the inputs are linear asset … number. Marginal Contributions and Expected Shortfall provide more insight about concentration of risk vs. diversification …

practitioners are enhancing the risk allocation framework in order to incorporate hedge funds. The risk allocation framework … consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures; 2. Optimize Risk … Allocation; 3. Implement Investment Strategy.Part 1 of this series discussed how to apply the first step, identifying risk …

methodology to hedge funds. Finally the article will discuss a number of leading edge solutions to these problems. The risk … allocation framework consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures …; 2. Optimize Risk Allocation; 3. Implement Investment Strategy. Part 1 of this series will discuss the first step in the …

Traditional risk measures such as standard deviation and CVaR are properties of the distribution of returns over a … means to express interim risk. However, partly because of modelling complexities, maximum drawdown is often quoted as a … dynamic risk over the entire term to expiry …

investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is jointly affected …

Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant … manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk …, which tail risk protection strategies were considered in the literature, their effectiveness and associated costs. We also …