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

of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

cross-section of the US stock returns. Such risk premium is not subsumed by the common volatility, tail beta, downside beta …, as well as other popular risk factors. Stocks with high loadings on past quantile risk in the left tail earn up to an … annual five-factor alpha 7.4% higher than stocks with low tail risk loadings. Further, we show that quantile factors have …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. … dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce …

(treasuries). This is done under an enhanced structural credit risk Merton style model. The liability side the sovereign balance …

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …