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March 2013Does Risk Forecasting Help Macroprudential Policy Makers
October 2012Procyclical Leverage and Endogenous Risk
September 2012Regime Switches in Volatility and Correlation of Financial Institutions
May 2012Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
March 2012Fat Tails, VaR and Subadditivity
November 2011Model Risk of Systemic Risk Models
August 2011Endogenous and Systemic Risk
August 2011Endogenous Extreme Events and the Dual Role of Prices
April 2011Exchange Rate Determination and Inter Market Order Flow Effects
February 2011Robust Forecasting of Dynamic Conditional Correlation GARCH Models
July 2010Liquidity determination in an order driven market
March 2010On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
July 2009Risk Appetite and Endogenous Risk
October 2008Blame the models
June 2008Consistent Measures of Risk
June 2008Feedback Trading
August 2007Optimal Portfolio Allocation Under the Probabilistic Risk Constraint and Incentives for Financial Innovation
May 2007Regulating Hedge Funds
February 2007Equilibrium Asset Pricing with Systemic Risk
February 2007Currency Crises, (Hidden) Linkages, and Volume
November 2005Subadditivity Re-Examined: the Case for Value-at-Risk
November 2005Comparing Downside Risk Measures for Heavy Tailed Distributions
September 2005Highwaymen or Heroes: Should Hedge Funds be Regulated?
August 2005On time-scaling of risk and the square-root-of-time rule
August 2005Countercyclical Capital and Currency Dependence
October 2004Anatomy of a market crash: A market microstructure Analysis of the Turkish Overnight Liquidity Crisis
May 2003Regulation Incentives for Risk Management in Incomplete Markets
May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
February 2003On time-scaling of risk and the square-root-of-time rule
September 2002Endogenous Risk
September 2002On the Feasibility of Risk Based Regulation
August 2002The impact of risk regulation on price dynamics
February 2002Where do Extremes Matter?
October 2001Incentives for Effective Risk Management
June 2001An Academic Response to Basel II
June 2001The Emperor has no Clothes: Limits to Risk Modelling
June 2000The Cost of Conservatism: Extreme Returns, Value-at-Risk, and the Basle `Multiplication Factor'
June 2000Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
May 2000Value-at-Risk and Extreme Returns

March 2013Does Risk Forecasting Help Macroprudential Policy Makers
October 2012Procyclical Leverage and Endogenous Risk
August 2011Endogenous Extreme Events and the Dual Role of Prices
October 2008Blame the models
May 2007Regulating Hedge Funds
September 2005Highwaymen or Heroes: Should Hedge Funds be Regulated?
August 2005On time-scaling of risk and the square-root-of-time rule
August 2005Countercyclical Capital and Currency Dependence
May 2003Regulation Incentives for Risk Management in Incomplete Markets
May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
September 2002Endogenous Risk
September 2002On the Feasibility of Risk Based Regulation
August 2002The impact of risk regulation on price dynamics
June 2001An Academic Response to Basel II
June 2001The Emperor has no Clothes: Limits to Risk Modelling
June 2000The Cost of Conservatism: Extreme Returns, Value-at-Risk, and the Basle `Multiplication Factor'

March 2012Fat Tails, VaR and Subadditivity
August 2011Endogenous Extreme Events and the Dual Role of Prices
November 2005Subadditivity Re-Examined: the Case for Value-at-Risk
November 2005Comparing Downside Risk Measures for Heavy Tailed Distributions
February 2002Where do Extremes Matter?
June 2000Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
May 2000Value-at-Risk and Extreme Returns

March 2013Does Risk Forecasting Help Macroprudential Policy Makers
September 2012Regime Switches in Volatility and Correlation of Financial Institutions
March 2012Fat Tails, VaR and Subadditivity
November 2011Model Risk of Systemic Risk Models
August 2011Endogenous Extreme Events and the Dual Role of Prices
February 2011Robust Forecasting of Dynamic Conditional Correlation GARCH Models
March 2010On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
October 2008Blame the models
June 2008Consistent Measures of Risk
August 2007Optimal Portfolio Allocation Under the Probabilistic Risk Constraint and Incentives for Financial Innovation
February 2007Equilibrium Asset Pricing with Systemic Risk
February 2007Currency Crises, (Hidden) Linkages, and Volume
November 2005Subadditivity Re-Examined: the Case for Value-at-Risk
November 2005Comparing Downside Risk Measures for Heavy Tailed Distributions
September 2005Highwaymen or Heroes: Should Hedge Funds be Regulated?
August 2005On time-scaling of risk and the square-root-of-time rule
August 2005Countercyclical Capital and Currency Dependence
May 2003Regulation Incentives for Risk Management in Incomplete Markets
May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
September 2002Endogenous Risk
September 2002On the Feasibility of Risk Based Regulation
August 2002The impact of risk regulation on price dynamics
October 2001Incentives for Effective Risk Management
June 2001An Academic Response to Basel II
June 2001The Emperor has no Clothes: Limits to Risk Modelling
June 2000The Cost of Conservatism: Extreme Returns, Value-at-Risk, and the Basle `Multiplication Factor'
May 2000Value-at-Risk and Extreme Returns

April 2011Exchange Rate Determination and Inter Market Order Flow Effects
July 2010Liquidity determination in an order driven market
June 2008Feedback Trading
October 2004Anatomy of a market crash: A market microstructure Analysis of the Turkish Overnight Liquidity Crisis

August 2011Endogenous Extreme Events and the Dual Role of Prices
March 2010On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
July 2009Risk Appetite and Endogenous Risk
February 2007Currency Crises, (Hidden) Linkages, and Volume
August 2005On time-scaling of risk and the square-root-of-time rule
August 2005Countercyclical Capital and Currency Dependence
October 2004Anatomy of a market crash: A market microstructure Analysis of the Turkish Overnight Liquidity Crisis
May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
September 2002Endogenous Risk
August 2002The impact of risk regulation on price dynamics

March 2013Does Risk Forecasting Help Macroprudential Policy Makers
October 2012Procyclical Leverage and Endogenous Risk
May 2012Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
November 2011Model Risk of Systemic Risk Models
August 2011Endogenous and Systemic Risk

Comparing Downside Risk Measures for Heavy Tailed Distributions

Jon Danielsson, Casper de Vries, Bjorn Jorgensen and Sarma Mandira
November 2005

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Expected shortfall, though, may not always distinguish between the differing risk levels of assets.

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