making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across … skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

return distribution under the risk-neutral measure. This paper formulates the VIX as a linear decomposition of four … fundamentally different elements: the realized variance (RV), the variance risk premium (VRP), the realized tail (RT), and the tail … risk premium (TRP), respectively. Using an innovative and nonparametric tail risk measure, we find that approximately one …

In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

in a comparative value-at-risk study. The proposed methods are illustrated using both simulations and eight international …