the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into …This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR …), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …

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 improve the prediction of the cross-section of asset returns. The ES …

portfolio, selecting a set of investment opportunities is crucial. In the absence of a risk-free asset, investment opportunities …-linear dependence structure can result in an overestimation or underestimation of these metrics. Copula functions are commonly utilized … Sharpe ratio using copulas and proposes a copula-based approach to tackle the estimation issue. The performance of the …

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to … reevaluate and mitigate the risk and return trade-off in building their clients´ portfolios. The advancement of machine …

copulas. From the fitted Mixed and Elliptical copula functions, daily returns of the equities are simulated which are employed …. Performance of the constructed optimal portfolios are compared according to varying risk and reward to variability ratios yielding … the gap in the literature on the out-of-sample portfolio allocation performance of copula functions where there are still …

risky, motivating us to manage their risk. In this paper, we aimed to forecast the risk of Decentraland's MANA and Theta … combination with Bitcoin. To measure their risk, we proposed a modified aggregate risk measure (AggM) defined as a convex … combination of aggregate value-at-risk (AggVaR) and aggregate expected shortfall (AggES). To capture their dependence, we employed …

obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for … level of risk. Our starting point is to use a hierarchical risk aggregation method which was initially based on two … results show that a mixture of copulas can provide a better fit to the data than an individual copula and consequently avoid …

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 …