Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile- based risk measures adopted in financial … regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk … events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management …

findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables … exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail … risk. Additionally, we find strong links to the equity markets, but also co-movements to macroeconomic factors. Left or …

joint dynamics of their components, with particular importance devoted to the simulation of tail risk scenarios. Commonly … simulation of realistic multi-asset scenarios with a particular focus on the accurate estimation of tail risk for a given class … of static and dynamic portfolios selected by the user. By exploiting the joint elicitability property of Value-at-Risk …

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