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 …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

also called "global risk indicators". The MSCI (Morgan Stanley Capital International) Emerging Markets Index, which is the … and used as a benchmark. Therefore, in this study, the relationship between the MSCI EM Index and the global risk … global risk indicators to the MSCI EM Index were determined. …

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from … Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that … risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by …

reputation of VaR based risk measurement is seriously damaged. An alternative measure that looks very strong at these dire times …