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 … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some …

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 …

from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

replicating portfolio is extremely effective asa hedge against the interest rate risk involved in the GAO, that thestatic …

supply and test whether power futures prices contain information about expected future spot prices and risk premiums and …