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 …

The price of any asset can be expressed with risk neutral probabilities, which are adjusted to incorporate risk … preferences. This paper introduces the concepts of downside (respectively outer) risk neutral probabilities, which are adjusted to … incorporate the preferences for downside (resp. outer) risk and higher degree risks. We derive new asset pricing formulas that …

neutral measure, which is also a risk-adjusted measure. Using risk preference theory, we interpret this change in probability … utility functions and probability distributions. This probability measure, the ``downside risk neutral'' measure, is adjusted … to incorporate the effects of downside risk and higher degree risks. It thus belongs to the same family as the risk …

stochastic ordering so that the valuation risk–loading, and thus risk premiums, generated by the measure distortion is an ordered …. The distribution function accounts for model risk in relation to the empirical distribution of the risk process, while the … quantile function models the response to the risk source as perceived by, e.g., a market agent. This gives rise to a sys- tem …

, where the metric on probability measures is taken as a Wasserstein metric arising from optimal transport theory. Design … robustness of financial risk measures. …

extensive history of large corporate firms sourced from Moody’s. We develop distance-to-default (DTD) risk factors and design …. We measure the model risk attributed to various modelingassumptions according to the principle of relative entropy and … observe that the omitted-variable bias with respect to the DTD risk factor, neglect of interaction effects and incorrect link …