We present a framework focused on the interdependence of high-dimensional tail events. This framework allows us to analyse and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the...

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel measure of downside risk, the ES-implied beta, to...

We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003...

The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid stock collection in Indonesia stock exchange period 2008-2016. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk...

In this work we derive an exact formula to calculate the Expected Shortfall (ES) value for the one-factor delta-gamma approach which, to the best of our knowledge, was still missing in the literature. We then use the one-factor delta-gamma as a control variate to estimate the ES of the...

A number of studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel measure of downside risk, the ES-implied beta, to...

A new framework for the joint estimation and forecasting of dynamic Value-at-Risk (VaR) and Expected Shortfall (ES) is proposed by incorporating intraday information into a generalized autoregressive score (GAS) model, introduced by Patton, Ziegel, and Chen (2019) to estimate risk measures in a...

We discuss the backtesting of investment and trading strategies. We start with the challenges and pitfalls: overfitting, data preparation, and the effects of randomness. Then, we introduce and describe R software for backtesting. We demonstrate how to use the software for univariate and...

This article discusses the limitations of coherent risk measure, specifically the properties of positive homogeneity and subadditivity that impose an infinitely linear scale to amount of risk. In practice, super-additive risks arise from feedback-linked market, credit, and liquidity risks that...