Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial … collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk … trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

assess risk magnitudes in terms of stresses to both economic values and also liquidity. Exposures would be measured before …Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this …

regulatory initiatives, including proposed new capital requirements, are under consideration as a means of reducing systemic risk …. This paper examines the concept of systemic risk -- that failure of one firm will lead to the failure of a large number of … and integrated and the effects of OTC derivatives on these risks discussed. The key conclusion is that systemic risk has …

The Centers for Medicare and Medicaid Services (CMS) has phased in the Hierarchical Condition Categories (HCC) risk … beneficiary's health status. However, it is debatable whether the CMS-HCC model has led to strategic evolutions of risk selection …. We examine the competing claims and analyze the risk selection behavior of MA plans in response to the CMS-HCC model. We …

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the … identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided …. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Second, evaluating the …

risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …

. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …