We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which … the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …

In the Capital Asset Pricing Model (CAPM) the β-parameter is related to the risk level of an asset and takes on values … ranging around 1. I argue that β is also a function of the monetary risks the asset is exposed to, hence monetary risk can be … estimated from betas. On the other hand, if we have an estimate of the monetary risk magnitude we can determine the asset's beta …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The …

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