We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the …) performs the best overall. While some other tail risk measures excel at specialized tasks, BT11Q performs well in all tests …: First, the BT11Q measure can predict both future tail events and future tail volatility. Second, it is priced in the market …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …

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 …