Pereira, João PedroGastel, Suzan Van2018-05-112018-05-112018-01-26http://hdl.handle.net/10362/36555This paper investigates the usefulness of time-varying tail risk in the financial sector. The findings of this paper support the notion that financial sector time-varying tail risk possesses predictive power over future market returns over a horizon of one-month, one-year, three-years and five-years and some predictive power over future financial crises. Within the financial sector there are four industries recognized; the banking, insurance, broker dealer and other industry. These industries all have a different level of systemic risk and thus pose different risks to the financial sector and in term to the real economy.engFat tailsTime-varyingFinancial sectorHill alphaPredictormaster thesis201863804