{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T06:50:35Z","timestamp":1791355835749,"version":"4.3.1"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Value at Risk and Expected Shortfall measure how much a portfolio can lose, not which events accompany its losses. We define News at Risk (NaR): the composition of portfolio tail days over event states, by count and by loss. An identity links each state's share of breaches to its base rate and its lift, its breach rate relative to an average day. Reweighting or deleting event states in historical losses expresses this composition in loss units. We apply the framework to US payroll releases and scheduled Federal Open Market Committee (FOMC) decisions, 1994-2026, on an equity index, two Treasury yield exposures and a 60\/40 book. Composition differs across portfolios. Payroll days are 4.8% of the calendar but 14.8% of the 10-year exposure's 95% breaches, a lift of 3.11 against 1.36 for equities. The 60\/40 book has its own composition, not an average of its legs, and for a long euro position FOMC days carry a 99% lift of 6.39. Composition also depends on the risk model: a calendar adjustment fitted on 1994-2018 lowers the 10-year payroll lift on 2019-2026 from 2.85 to 1.10, while a GARCH(1,1) threshold leaves it at 3.44, so a high lift can flag predictable announcement risk that the risk model omits. Splitting payroll days by surprise reverses the dangerous sign across books: beats for rates, misses for equities. All results are descriptive associations.<\/jats:p>","DOI":"10.2139\/ssrn.7564640","type":"posted-content","created":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T06:00:49Z","timestamp":1791352849000},"source":"Crossref","is-referenced-by-count":0,"title":["News at Risk: Event Composition and Diagnostics for Portfolio Tail Risk"],"prefix":"10.2139","author":[{"given":"Sebastien","family":"Coupy","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alejandro","family":"Bonilla","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T06:00:49Z","timestamp":1791352849000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7564640"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7564640","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}