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

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

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 …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation …

In higher education, pure credit market funding leads to underinvestment due to insufficient risk pooling, while pure …

nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen …. In addition to widely used VaR and ES models, we also study the behavior of conditional and unconditional extreme value …

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial … 2008Q3, it turns out that the k-year VaR of French equities is strongly dependent on the cycle phase: the expected losses … as measured by the VaR are twice smaller in recession times than expansion periods. These results strongly suggest that …

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We … start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the …. Applications of these techniques for the analysis and pricing of systemic risk has already provided significant benefits at least …