An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk … measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

We propose new systematic tail risk measures constructed using two different approaches. The first extends the … market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for … other measures of downside risk, including downside beta, co-skewness and co-kurtosis. Using these measures, we examine the …

as an indicator for assessing risk in commercial loans. The methodologies employed in this research are system analysis …, MA, ARIMA and ARIMAV are not adequate to deal with short term risk assessment due to restrictive assumptions in … tool for NPL studies. Under EVT, it was found that the risk threshold for Thailand's NPL is 10.91 where three industries …

A decomposition of a sub-class of spectral risk measures is introduced in terms of L-moments accounting for geometric … completely the spectral risk measures with square-integrable risk aversion functions and can be regarded as a link between higher …-order moment risk and downside risk measures. Coherent approximations based on only a few L-moments can be successfully constructed …

copulas tend to understate them. Since risk aversion and efficient markets suggest that investors should demand a premium for …