counterparty risk. We allow for privately observed shocks to the distribution of asset risk across banks after the initial …

This paper examines the implications of bank activity and short-term funding strategies for bank risk and return using …-interest income generating activities such as trading increases the rate of return on assets, and it may offer some risk … can offer some risk reduction at commonly observed low levels of non-deposit funding. A sizeable proportion of banks …

In this paper we present a framework for backtesting all currently popular risk measurement methods (including value-at-risk … and expected shortfall) using the functional delta method.Estimation risk can be taken explicitly into account.Based on a … tests for value-at-risk in realistic financial sample sizes.We propose a way to determine multiplication factors, and find …

In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of … hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test … size of risk exposures over time one cannot apply the standard tests based on stationarity.To overcome this problem, we …

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by …