acknowledges that daily returns contain different frequency information, simulates realistically over a given risk horizon and … captures the tail risk: wild movements unanticipated by usual normality assumptions …

We provide a new measure of sovereign country risk exposure to global sovereign tail risk (SCRE) based on information … monetary policy. We show that our risk exposure variable reacts significantly more than mean (median) CDS spreads to macro …-financial risks. Our results therefore imply that good fundamentals protect countries against sovereign risk especially in times of …

(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs … the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

We present an analytical framework for the forward-looking measurement of extreme market risk. In contrast to standard … techniques relying on past return data, we propose to extract Value-at-Risk and Expected Shortfall under the physical measure … from current option prices. Our empirical evidence suggests that the resulting estimates accurately capture the tail risk …

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a …