I’m thrilled to announce that our paper, «Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR-ES Approach,» has been published in the Journal of Forecasting! A huge thank you to my outstanding coauthor, Laura García-Jorcano, for her dedication and teamwork throughout this journey. 
In our study, we developed a novel method to forecast market risk under transition risk exposure, focusing on extreme bank returns in Europe. If you’re interested in exploring our research, you can read the full paper here:
Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach