risk analysis and forecasting. Conventional methods of risk analysis tend to underestimate the probability and impact of … assess critically the potential of big data to profoundly change the current capability for risk forecasting in diverse areas … and the assertion that big data leads to better risk predictions. In particular, this article focuses on big data …

intra-day basis, has spurred numerous theoretical advances in the areas of volatility/risk estimation and modeling. In this … shocks across different sectors and companies in the markets; and hence represents a type of systemic risk. Additionally, the …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more … volatilities. A utility-based framework designed to evaluate the economic gains from risk modeling highlights the interplay between … parsimony of model specification, transaction costs, and speed of trading in the practical implementation of the different risk …

Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under … prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures: Value-at-Risk …

Empirical risk minimization is a standard principle for choosing algorithms in learning theory. In this paper we study … the properties of empirical risk minimization for time series. The analysis is carried out in a general framework that … risk minimization achieves asymptotically the optimal predictive performance that is attainable within the class of …

-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log …-returns, MSGARCH models yield more accurate Value-at-Risk, Expected Shortfall, and left-tail distribution forecasts than their single …

a risk-free asset. We show that the method behaves similarly to Kelly on Geometric Brownian Motion in that it …

different types of portfolio and benchmark ‘weights'. In particular, we introduce the idea of Risk Share – based on asset risk … contributions – and Factor Share – based on either factor style exposures or factor risk contributions. We describe these new … that the trio of Active Share, Risk Share and Factor Share provides one with a comprehensive, standardised means for easily …