Browsing by Subject "Value-at-Risk"
Now showing items 1-2 of 2
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Extreme downside risk and market turbulence
(Article)We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. ... -
Systematic Extreme Downside Risk
(Article)We propose new systematic tail risk measures constructed using two different approaches. The first is a nonparametric measure that captures the tendency of a stock to crash at the same time as the market, while the second ...