In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility … curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through … implied curves and risk neutral densities not only across different option maturities, but also dynamically …

market risk when the market experiences a substantial decline. This is also true when we consider a number of distinct hedge … fund styles. This source of risk is not diversifiable, and for this reason funds-of-funds as portfolios of hedge funds … concentrate tail risk exposure rather than mitigate this effect …

diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … risk historically received more attention, especially in financial regulation, our analysis shows that volatility clusters …, risk managers, and investors seeking to understand and mitigate the risks of financial markets …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …