The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

theory based models provide a reasonable degree of safety while widespread VaR models do not provide adequate risk coverage …The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

We incorporate tail risk in a Bayesian learning framework with information frictions and study how individuals … abstract from any behavioral biases. First, we show that individuals overreact under tail risk, that is, individuals are … excessively optimistic and pessimistic as compared to a Bayesian learning framework without tail risk. Second, uncertainty shocks …