Extreme value theory is concerned with the study of the asymptotic distribution of extreme
events, that is to say events which are rare in frequency and huge in magnitude with respect …

Banking sectors across the globe are under immense stress due to the evolving COVID-19
situation and policy responses thereto. This study investigates how COVID-19 impacted the …

Our study uses the GARCH-EVT-copula model to develop out-of-sample forecasts for
diverse asset classes, including a green asset. To construct optimal portfolios, we apply four …

The crypto market has experienced several serious crises in recent years, the most
contemporary being the collapse of Terra and then FTX. Despite common belief that these …

We investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common …

This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …

We derive a measure of aggregate systemic risk, designated CATFIN, that complements
bank-specific systemic risk measures by forecasting macroeconomic downturns six months …

This paper examines the intertemporal relation between downside risk and expected stock
returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of …

Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …

The recent deregulation in electricity markets worldwide has heightened the importance of
risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is …