portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …

Using German panel data, we assess the causal effect of job loss, and thus of an extensive income shock, on risk … attitude. In line with predictions of expected utility reasoning about absolute risk aversion, losing oneś job reduces the … perceives the threat of job loss and is of a transitory nature. The change in stated risk attitude matches observable job …