One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

capture simultaneous distress of the constituents of a (financial or economic) system and measure its systemic risk. We …

capture simultaneous distress of the constituents of a (financial or economic) system and measure its systemic risk. We …

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 …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …