From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

How to incorporate hard-to-measure assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk …, actually larger than the risk-free market rate of return. The market equilibrium and a proportional tax on the market portfolio … will ensure an efficient risk allocation between private and public consumption and across projects. Failing to apply an …

This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We … consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate …