frequently not the case according to bankruptcy regulation and as observed in practice.We theoretically show that including risky …

’ systemic risk exposures using extreme value analysis. Systemic banking risk is measured as the tail beta, which equals the … correlation between) interest income and the components of non-interest income on this risk measure is assessed. The heterogeneity … in extreme bank risk is attributed to differences in the scope of non-traditional banking activities: non …

method is shown to produce reliable forecasts in the presence of outliers, non-linearity, and heteroscedasticity. In the … absence of outliers, the forecasts are only slightly less precise than those based on a localized Least Squares estimator. An …

In this paper we study distributionally robust constraints on risk measures (such<br/>as standard deviation less the … mean, Conditional Value-at-Risk, Entropic Value-at-Risk) of decision-dependent random variables. The uncertainty sets for … counterpart can be split into two parts: one corresponding to the risk measure and the other to the uncertainty set. We also show …