Investigations of Flexible Jump Modelling and Option-Implied Asymmetric Risk

The thesis advances the understanding of asymmetric behaviour and tail risks in financial markets. It develops a flexible statistical approach that better captures extreme price changes and provides a more realistic view of market uncertainty. The proposed approach improves risk prediction, particularly during volatile periods. The thesis also introduces new forward-looking risk measures based on option prices. These measures reveal clear asymmetries in how assets co-move with the market and offer improved insights into risk dynamics, compared with conventional risk measures.