This paper examines the extreme co-movements between infectious disease events and
crude oil futures through extreme value analyses. We contribute to the literature by providing …

Connecting derivative pricing with tail risk management has become urgent for financial
practice and academia. This paper proposes a novel option pricing model based on the …

Research has shown that tail risk hedging using explicit option purchases and trend-
following effectively mitigate equity tail risk. This paper demonstrates that these defensive …

This article discusses the multifaceted topic of tail risk. Topics include tail-risk perception,
portfolio and enterprise management, and mitigation. We start by summarizing the key …