This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. ...

This paper deals with the problem of how to use simple systemic risk measures to assess portfolio risk characteristics. Using three simple examples taken from previous literature, one based on raw and partial correlations, ...

This paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties' risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, ...

This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...

This paper defends the wisdom of not considering the Digital Economy to be one homogeneous sector. Our hypothesis is that it is best to consider it the result of adding four different subsectors. We test whether indeed the ...

Risk perception is considered the primary motivator for taking preparedness actions. But people with prior experience and a high-risk perception are not necessarily more prepared. This relationship is even more complex ...