This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the …. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk is typically … no obvious way to identify which method is the best. Finally, we discuss the main problems in risk forecasting for macro …

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common … is to examine time scaling of risk when returns follow a jump diffusion process. It is argued that a jump diffusion is … well-suited for the modeling of systemic risk, which is the raison d’etre of the Basel capital adequacy proposals. We …

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors …. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk …-sensitive financial regulations are introduced with a view of tackling systemic risk, with Value-at-Risk a key component. The model …

amplification of systemic risk. We caution against focusing on the accounting rule in isolation, and instead emphasize the …-based information, our results indicate that regulatory simplicity may be preferred to the complexity of risk-weighted capital ratios … that gives rise, through interactions with accounting rules, to distorted risk-taking incentives and potential build-up of …

FMIs, and focuses on the dichotomy between the ‘systemic risk’ and ‘transaction costs’ approaches to financial markets and …

We report a study of a stylized banking cascade model investigating systemic risk caused by counterparty failure using …