The accelerated growth and interconnectedness of financial institutions and movement towards products and activities outside the regulatory purview have been met with huge concerns. South Africa is one of the emerging economies that this conundrum has beset. Any potential instability in the...

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among analysed cryptocurrencies. This paper provides...

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...

This study introduces a multivariate entropic Value at Risk (mEVaR) risk measure, broadening the conventional Value at Risk scope to a multi-asset scenario. The mEVaR is coherent and encapsulates the integrated risk of various assets in a portfolio. In addition, a new theoretical result...

Pension funds are increasingly relying on swaps to hedge the long-term nature of their liabilities. While the use of swaps reduces pension funds' exposure to interest rate risk, it exposes pension funds to liquidity risk because of potential margin calls. We study these effects using unique data...

This paper proposes a comprehensive climate stress testing approach to measure the impact of transition risk on investment portfolios. Unlike most climate stress testing models, which are designed for the banking industry and follow a top-down approach, our framework considers a bottom-up...

In investment portfolio management, every investor generally wishes to obtain the highest possible expected returns for a given level of risk, as represented by the volatility of the returns of the investor’s portfolio. Therefore, in order to make rational capital allocation decisions, the...

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...

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...