This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

I show that sharp identified sets in a large class of econometric models can be characterized by solving linear systems of equations. These linear systems determine whether, for a given value of a parameter of interest, there exists an admissible joint distribution of unobservables that can...

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...

We propose an alternative investment strategy for pairs trading using Archimedean copulas in order to cover a wider range of tail dependence patterns and apply it to the S&P 500 stocks from 1990 to 2015. Empirical results show that our mixed copula approach generates higher average and risk...

Adverse weather related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Levy subordinated...

Risk management is an important and helpful process for investors, hedge funds, traders and market makers. One of its key points is the appropriate estimation of risk measures which can improve the investment decisions and trading strategies. The high volatility of cryptocurrencies turns them a...

The problem of determining distributions of the product of random variables is one of the most important problems. However, most studies only focus on independence structures on some common distributions of the functions of random variables or stochastic dependence through multivariate normal...

Determining distributions of the functions of random variables is a very important problem with wide applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density and distribution functions for the quotient Y = X₁/X ₂ and the...

The COAALA copula allows to analyse financial market stability by studying co-movement between stocks and government bonds using information on both the global and the four local tail dependence measures (i.e. dependence between severe movements). Such encompassing view on stock-bond co-movement...