The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered … models in order to predict the probability of tail events and the Value-at-Risk and the Expected Shortfall risk measures for …

Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities … analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three … unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for …

ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more …

This paper presents an integrated risk management methodology for measuring and managing the economics, risks, and … framework, we develop valuation and risk models for all financial products on the bank's balance sheet. Our proposed methodology … often rely on fragmented and siloed risk management solutions, our approach integrates risk modeling across all aspects of …

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … risk exposure of a position or a portfolio. MaxVaR is a more stringent risk measure as it assesses the risk during the risk …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …