direction. This writing first improves upon a recently developed, and real-life-inspired, Behavioral Finance Risk Model …

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

risks effectively. The basis for an effective risk management is a thorough risk analysis. Despite the availability of many … different risk analysis approaches, companies can be reluctant to use them, since the models are usually complex and very time … consuming. Objectives: The main objective is to present a simple, yet effective risk analysis approach that can also serve as a …

the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of …An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …