-averse), benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and … prices of out-of-the-money put as the risk-neutral expected value of a loss beyond a given relative threshold …

construct managed portfolios of a risk-free asset and market index. …

individual and index-type assets, are conditionally tight, account for all risk-neutral moments of returns, and outperform runner …-up models for out-of-sample predictions. Bounds calibrated to realized returns correspond to reasonable risk aversion and … in expected returns. Cross-sectional tests deliver a reasonable market risk premium …

about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX …). While the bivariate risk-neutral distribution cannot be inferred from the marginals, we propose a novel identification based … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

Following the financial crisis of 2008, it has been argued that Value at Risk (VaR), and risk analysis in general …, failed to alert risk managers of the turbulence on the horizon. This is a misguided view that should not have come as a … illustrate implied riskiness of portfolios if turbulence occurs. The analysis implies that no mechanical risk analysis is …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were … proposed as an indicator sensitive to the pertinent risk of financial investment. However this measures are indifferent to … extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index …

Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper …