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We propose an innovative approach utilizing the worst-case higher moment (HM) risk measure, which offers a robust solution to distributional shifts by incorporating adaptive features. Empirical results using historical S&P500 returns indicate that worst-case HM risk measures significantly reduce the underestimation of risk and provide more stable risk assessments throughout the financial cycle compared to traditional ES predictions. These results suggest that worst-case HM risk measures represent a viable alternative to regulatory add-ons for stress testing and procyclicality mitigation in financial risk management."},"dsDescriptionDate":{"typeName":"dsDescriptionDate","multiple":false,"typeClass":"primitive","value":"2024-05-15"}}]},{"typeName":"subject","multiple":true,"typeClass":"controlledVocabulary","value":["Business and Management","Mathematical Sciences"]},{"typeName":"keyword","multiple":true,"typeClass":"compound","value":[{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"higher moment risk"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"procyclicality"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"expected shortfall"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"stress testing"}}]},{"typeName":"publication","multiple":true,"typeClass":"compound","value":[{"publicationCitation":{"typeName":"publicationCitation","multiple":false,"typeClass":"primitive","value":"Castro-Iragorri, Carlos and Gómez, Fabio and Quiceno, Nancy, Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality (March 6, 2024). UNSW Business School Research Paper Forthcoming"},"publicationURL":{"typeName":"publicationURL","multiple":false,"typeClass":"primitive","value":"https://ssrn.com/abstract=4757293"}}]},{"typeName":"language","multiple":true,"typeClass":"controlledVocabulary","value":["English"]},{"typeName":"depositor","multiple":false,"typeClass":"primitive","value":"Castro Iragorri, Carlos"},{"typeName":"dateOfDeposit","multiple":false,"typeClass":"primitive","value":"2024-05-15"},{"typeName":"kindOfData","multiple":true,"typeClass":"primitive","value":["Replication files in R"]}]}},"files":[{"description":" Replication code Expected Shortfall","label":"LookForwardRatioExpectedShortfallBenchmark.R","restricted":false,"version":1,"datasetVersionId":187,"dataFile":{"id":1893,"persistentId":"doi:10.34848/IL9XHN/KCLSUA","pidURL":"https://doi.org/10.34848/IL9XHN/KCLSUA","filename":"LookForwardRatioExpectedShortfallBenchmark.R","contentType":"type/x-r-syntax","filesize":5429,"description":" Replication 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