The Covid-19 pandemic and the portfolio diversification effect of catastrophe bonds

Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory

Randomization of spectral risk measures and distributional robustness

Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure

Risk parity strategies with risk factors

Asymptotic behavior of systemic risk based on the higher-moment capital allocation

The Covid-19 pandemic and the portfolio diversification effect of catastrophe bonds

Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory

Randomization of spectral risk measures and distributional robustness

Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure

Risk parity strategies with risk factors

Asymptotic behavior of systemic risk based on the higher-moment capital allocation