This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency …

changing expectation of credit losses with a model-free method. Using a log-linearized pricing identity and a vector …

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 …

on trade flows. This paper builds a theoretical model in which exchange rate variability has a negative effect on the … level of trade. The model is calibrated to observed trade flows and real exchange rates. Simulation of the model … to a wide range of parameter values. Moreover, reasonable extensions of the model only serve to minimize further the …