An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

risk of thestrategies increases proportionally. Second, we test whether the strategies can be implementedsuccessfully in …, we examine several popularexplanations for the excess returns. We find no evidence of higher market risk or lower …

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 …

differenced series we are interested in when estimatinginterest rate risk exposures e.g. This paperpresents a method to filter …

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock …