This paper deals with the effects of tax rate uncertaity on risk-neutral and risk-averse investment behavior. We … analyse effects of stochastic tax rates on both real and financial investment. It emerges that under risk neutrality as well … as under risk aversion, increased tax rate uncertainty has an ambiguous impact on investment behavior, depending on the …

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy … energy sector. Adding the SKEW index as a market-implied tail-risk proxy has negligible effects on dependence and spillovers …, revealing that equity-market tail-risk sentiment does not influence commodity markets. Systemic risk remains localized within …

We propose new systematic tail risk measures constructed using two different approaches. The first extends the … market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for … other measures of downside risk, including downside beta, co-skewness and co-kurtosis. Using these measures, we examine the …