While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have...

The Conditional Value-at-Risk (CoVaR) proposed by Adrian and Brunnermeier (2016) - which quantifies the impact of a company in distress on the Value-at-Risk (VaR) of the financial system - has established itself as a reference measure of systemic risk. In this study, we extend the CoVaR along...

Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minimization of two asymmetric deviation measures,...