This paper investigates tail risk in emerging stock markets by comparing the investable and noninvestable segments in … Student-t GJR-GARCH model and the symmetrized Joe-Clayton copula, we show most investable portfolios have lower tail risk but …

econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation …

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 …

This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing … evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while … the tail risk of the market index did not respond before the outbreak, we document that the tail risk of less pandemic …

determinants for sovereign recovery risk. Guided by theoretically backed hypotheses we use a sample of 102 past restructurings and …

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

literatures on the costs and causes of defaults. It describes the adverse impact of sovereign default risk on the issuing … countries and what explains this impact. The survey concludes with a discussion of policy options to reduce sovereign risk …