quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

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 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 …

In order to address the risk of systemic crises it is of paramount importance to have advance information about banks … actual observation of tail risk events. Interestingly, we find that estimated tail risk exposures for U.S. Bank Holding … actually more crisis prone. We also study the determinants of banks' tail risk exposures and find that their key drivers are …