Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside risk. While the prospects of high returns are...

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

This work presents a new risk measure that is a generalization of Entropic Value at Risk (EVaR). We define the Relativistic Value at Risk (RLVaR) as a special case of φ-divergence risk measures based on Kaniadakis entropy. The RLVaR is a coherent risk measure that is bounded between EVaR and...

We propose a novel specification strategy using a SVAR identified with zero and sign-restrictions to uncover real-time financial shocks in an emerging market. By adding a foreign exogenous block and differentiating between local and US risk premia, we build on the literature that employs...

We implement multivariate, self-exciting Peaks-over-Threshold (POT) methods to measure extremal losses in high-frequency return series of cryptocurrencies. For that purpose, we implement trivariate Hawkes-POT and the autoregressive conditional intensity ACI-POT models for Bitcoin, Ethereum, and...

This paper constructs Tail Risk-Managed (TRM) portfolios in real time, where the scaling of exposures to factors is determined by forecasts of probabilities of VaR violations. Using a set of US Fama-French factors and a set of International equity portfolios, we show that TRM portfolios achieve...

Downside risk measures play a very interesting role in Actuarial Science and Mathematical Finance. In particular, the value at risk (VaR) and the expected shortfall (ES) have become very important instruments in order to address risk management problems, capital requirements, portfolio...

We consider the optimal integrated capacity and financial hedging strategies for a downside risk-averse global firm that faces multiple demand and foreign exchange rate risks. The firm maximizes the expected profit while controlling its profit-risk through a Value-at-Risk (VaR) constraint, which...