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 …

for systemic risk assessment in countries vulnerable to oil market shocks. We illustrate the procedure using the dynamic …

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

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 …

I show how changes in competition affect the power of reputation to induce sellers to exert effort. The impact of …. To guide the empirical analysis, I develop a model of reputation where the relative number of hosts and guests affects … the value of building a reputation through effort. In this framework, more competition depresses hosts' profits and leads …

Is the reputation of a firm tradeable when the previous owner has to retire even though ownership change is observable … good type. Hence reputation is tradeable, although ownership change is observable. In our model, reputation is an …