This presentation reconsiders Knight's Risk, Uncertainty, and Profit of 1921 in light of the emergence of the World … Wide Web in early-1990s, Emanuel Derman's pioneering work in Model Risk Management at Goldman Sachs in mid-1990s, backlash … around mid-2013. Based upon review of related financial risk modeling practices and exponentially increasing Cyber era …

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … detailed comparative analysis with tech-stocks. Comprehensive research on stylized facts confirmed high risk for both …

consistent with theories that emphasize globally shared disaster risk and time-varying disaster risk as important driving forces …

This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock … returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and … or nonexistent options. Empirically, the tail risk factor extracted from S\&P 500 returns has a 90% correlation with the …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were … proposed as an indicator sensitive to the pertinent risk of financial investment. However this measures are indifferent to … extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index …

Following the financial crisis of 2008, it has been argued that Value at Risk (VaR), and risk analysis in general …, failed to alert risk managers of the turbulence on the horizon. This is a misguided view that should not have come as a … illustrate implied riskiness of portfolios if turbulence occurs. The analysis implies that no mechanical risk analysis is …

-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk … these asset types. We also measure the model risk arising from mispecifying the process driving cryptocurrencies by ignoring …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …

result may also be partly due to changes in the respondents to the WEF Global Risk surveys over time. We have also concluded … appropriate risk management approaches …