We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the … resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal … alternative methodology of intrinsic risk measures was introduced in the literature. These ask for the minimal proportion of the …

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …, particularly in scenarios of heightened risk and increased concentration, crucial for mitigating negative net performances during …

This study provides formal theoretical evidence for nesting of probability measures that are generated by risk aversion … in probability measures that are generated by risk seeking preferences. In presence of highlighted nesting, conditional … on independent parameterization of expectations (probability distributions) that are conditioned on either of risk …

I provide a measure of time-varying tail risk in credit markets based on a dynamic power-law model. Credit tail risk is … existence of a finite second moment. Sellers of short-term CDS protection bear a higher tail risk of more extreme returns than … probability of credit default imply a greater tail risk than in the peripheral region. This phenomenon can be explained by the …

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …