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 use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market … times the ex ante price of risk. The factor is a powerful tool for documenting a global effect of conditional risk on stock … returns: across 23 developed countries, all major equity risk factors load on our conditional-risk factor with the right sign …

We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those …

Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current … practices in most countries emphasize reliance on financial statement data for assessing banks’ risk. However, the possibility … of increased reliance on market-based risk indicators has been a topic for academic and regulatory debate for a long time …

Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk …-series dimension of systemic risk. The dynamics of the CoVaR are entirely due to the behaviour of the state variables and therefore … component that we introduce does not affect the estimations for the risk of individual financial institutions, but it largely …