measures allow us to rank firms in terms of risk connectedness and firm characteristics. We present a general systemic risk …. Second, the systemic risk in the financial sector built–up from early 2005, peaked in September 2008, and greatly reduced … after the introduction of TARP and the rescue of AIG. Anxiety about European debt markets saw the systemic risk begin to …

. Furthermore, the risk premium reveals insignificant estimates in both time periods, while asymmetric effects are found to exist … firm size, the impacts arising from the industry policy reform, and how firm size is related to financial risk management …

become more probable too and systemic risk will actually go up after conversion. CoCo’s thus lead to a direct conflict … stress. Finally the link between CoCo conversion and systemic risk highlights the tradeoffs that a regulator faces in …

a revival of interest in the effect of risk on economic growth. We quantify both ex ante and ex post effects of risk … estimate the model in the structural form suggested by theory. The methodology is applied to micro data from a remarkable long …-running panel data set for rural households in Zimbabwe. We find that risk substantially reduces growth: in the ergodic distribution …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …

with a duration-based POT method, and extreme market risk and extreme value theory. … papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …

. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and … portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option … are different from unconditional projects. We show that although the risk of a portfolio always depends on the correlation …