Extreme Value Theory (EVT) offers a powerful framework to characterize financial market
crashes and booms. This paper applies EVT to model the behavior of extreme events and …

This paper focuses on the cross-asset class properties of Quality as a factor, particularly its
joint behavior across equities and fixed income. The aim is to provide further insight Quality, a …

Equity market crashes or booms are extreme realizations of the underlying return distribution.
This paper questions whether booms are more or less likely than crashes and whether …

This dissertation focuses on the behavior of equity returns in the tails of the distribution. It
studies the impact of tail behavior on the probability of multiple markets simultaneously moving …

… I thank my supervisor, Ritirupa Samanta, as well as my colleagues there for providing
very helpful insights and comments to this chapter. I truly appreciate the help and guidance I …

Risk infuses everything we do so it goes almost without saying (but I’ll say it anyway) that risk
and retirement are highly intertwined topics. If we define what retirement researchers and …

We pay central bankers to be paranoid. One of their primary responsibilities is to do extensive
contingency planning, preparing for every possible calamity. And when they do their job …

… I would like to thank Blake LeBaron, Peter Phillips, Ritirupa Samanta, and Jeremy Stein for
comments that helped me in my preparations. In addition, I owe an enormous debt to various …