This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected … shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as … 2007-2008, we fnd that the simplicity of tail-based risk management with a tail-targeting EV model is more attractive …

. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit … both methodologies tend to overestimate risk in turbulent period. Further, non-linear effects between CDS spreads in …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …