making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

differences in financial factors, which may reflect differences in country risk and the legal and regulatory framework that banks …

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders … particularly good when the informationally adjusted risk bearing capacity of traders is not very large. This is not the case if … informed traders are close to risk neutral. Both equilibria converge to the competitive equilibrium of an idealized limit …