real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …

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 … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk …

prospect theory and, according to Daniel Kahneman, “the most significant contribution of psychology to behavioral economics …” (Kahneman, 2011, p. 300). It has powerful implications for decision theory and has been fruitfully applied in many subfields of …