Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as … empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not … on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that …

Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in … large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show …

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …

Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …