Chapter 1: Financial risk tolerance: where does it all start from? -- Chapter 2: Risk tolerance tools: from academia to …This book revolves around the concept of financial risk tolerance and its role in financial markets. Bridging different … literatures and reviewing in detail the impact of European regulation on the evolution of risk tolerance assessment, this book …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on … isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on … Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are …

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the …