value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at …In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is …, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk …

We define CoVaR as the value at risk (VaR) of financial institutions conditional on other institutions being in … distress. The increase of CoVaR relative to VaR measures spillover risk among institutions. We estimate CoVaR using quantile … regressions and document significant CoVaR increases among financial institutions. We identify six risk factors that allow …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

"--Federal Reserve Bank of New York web site …