filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction … financial gains decreasing with higher risk aversion. JEL Classification: C22, C23, E44, G11, G15, H30 …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …

arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem … include the use of risk-weight floors and leverage ratios. I show that banks for which those are binding reduce their credit … supply, which drives interest rates up, invites other banks to adopt optimistic models and possibly increases aggregate risk …

outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset … combinations that detect most of the outliers by market segment. In addition, the algorithm parameters that have been found can … also be used to detect outliers in other series with similar economic behaviour in the same cluster. Moreover, the …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

, and the interaction with banks’ risk management, supervisory tools and statistical requirements. It also examines how the …

This paper studies firms’ usage of interest rate swaps to manage risk in a model economy driven by aggregate … productivity shocks, inflation shocks, and counter-cyclical idiosyncratic productivity risk. Consistent with empirical evidence …