Project information
Tail risk measures on financial markets

Understanding the dynamics of asset prices is relevant for all traded assets that lead to uncertain future payoffs. The study of market risk has been the focal point of the financial community, as it plays an essential role in many financial applications. In recent years, there has been a major shift in the related literature, as more emphasis is now given to the tails of the future asset return distribution as opposed to volatility. In the proposed project, we plan to contribute to the literature by addressing i) approaches used for forecasting tail-risk measures, ii) augmentation of the models by implied moments of the Q-distribution iii) augmentation of the models by incorporating sentiment measures, and iv) exploration of model applications and the impact measurement using economic loss functions. The main benefit of our research team is that it focuses on the strengths of both research teams: financial econometrics, which is inherently backward-looking (MUNI), and sentiment (MUNI, NYCU), which are forward-looking measures.