Focal Interest
Focal Interest

Downside risk

  1. Sports tokens showed spillover risk in connected markets
    Quantile VAR analysis reveals how sports tokens transmit and receive systemic shocks, with implications for portfolio construction and downside risk mitigation during market stress.
  2. Supply chain shocks raise macro-financial downside risk
    Study examines how global supply chain shocks increase macro-financial downside risk and whether monetary policy can buffer these transmission channels using quantile models and vector autoregression.
  3. Expectiles can minimize basis risk in parametric insurance
    Expectiles characterize basis risk-optimal payment schemes in parametric insurance contracts, minimizing asymmetric loss functions while retaining operational efficiency.