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 …

Although there is a broad literature on structural credit risk models, there has been little empirical testing of these … structural credit risk models.The latter provide a framework to analyze the main determinents of credit spreads.Using a dataset …

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 …

for private equity investments under the simple risk weight approach, the PD/LGD approach and the internal model approach … incentives to banks for using advanced risk models. …

uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities … benefits or from investing in survivor swaps. The effect of financial risk on these hedge effects is typically ignored. The aim … of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account …

markets as a control group. We find that banks that adopt advanced credit risk management techniques (proxied by the issuance ….Our findings confirm the general efficiency enhancing implications of new risk management techniques in a world with frictions …

This paper tests the influence of institutional differences on risk management practices.Several survey studies have … investigated derivatives usage for risk management purposes in the US (see, among others, Bodnar, Hayt, Marston and Smithson, 1995 … Dutch firms hedge more financial risk. Because of the greater openness of the Netherlands, Dutch firms experience far more …

banks can extract market power rents. We show that more bank competition results in lower economy-wide risk, lower bank … allocation and optimal levels of bank risk and capitalization. These results are at variance with those obtained by a large … systemic risk in the economy. …

.The game theoretic solution predicts (assuming risk neutrality) that actors are willing to accept wages below their outside … actors have uncertain risk aversion.The parameters of the game are calibrated to match data on 99 movies for 1989 available …