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Extreme downside risk in asset returns

Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a conditional measure for the co-movement of individual stocks with the market, given that the state of the world is extremely bad. This measure, derived from statistical extreme value the...

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Bibliographic Details
Authors and Corporations: Ergun, Lerby M. (Author)
Type of Resource: E-Book
Language: English
published:
[Ottawa] Bank of Canada [2019]
Series: Bank of Canada: Staff working paper ; 2019, 46 (December 2019)
Source: Verbunddaten SWB
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