Standard and Poor's database. The data is decomposed into a systematic and firm-specific risk component, where the systematic … cohort and rating class to the same systematic risk factor; (ii) strongly non-Gaussian features of the individual time series …; (iii) possible dynamics of an unobserved common risk factor; (iv) changing default probabilities over the age of the rating …

generate loss distributions which provide insight in the extreme losses and allow for changing correlations between risk …

role of sovereign and credit risk as two alternative explanations for the increase in financial fragmentation. A key … finding is that the heterogeneity in sovereign risk across member states accounts for a sizable part of the increase in the … credit risk on bank retail rates is negligible. Our results suggest that efforts to reduce sovereign tensions - as …

Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear … diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with … risk of individual institutions beyond the minimum level attainable by linear diversification, without increasing systemic …

. Financial stability is defined in terms of its ability to help the economic system allocate resources, manage risk and absorbs …

companies. One of the key differences is that the residual risk in pension funds is collectively borne by the beneficiaries and … claim approach to evaluate the risk return trade-off for annuitants.For that, we take into account the differences in …

its sponsor, using contingent claims analysis. As pension funds run a mismatch risk, future surpluses and shortfalls will … this system creates an asymmetric allocation of the residual risk between sponsor and beneficiaries. The main conclusion is … that the sponsor's vulnerability negatively impacts the optimum risk profile of a defined benefit scheme with conditional …

.s investment risk to estimate the prospective total assets and the conditional prospective funding rate. Both applications show … that comonotonicity can be a useful tool to assess the upper bound for the risk exposure of financial institutions. …