Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

The paper considers forecasting regressions of US equities ?realized volatility? on two misalignment measures defined by the temporary deviations from the common trend between valuation ratios (earning-price and dividend-price) and current inflation. Results show that these misalignments are...

This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using us quarterly data, we find that cycles in the price-earning ratio are strong and better...

Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the Value-at-Risk (VaR), emerged over recent decades as the industry standard for...