-week portfolio Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) predictions and the time-instability of financial market … effects when they are needed the most. Diversification among multiple asset classes significantly reduces the risk of …

global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its …-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a … Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto …

using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …

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 …