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 …

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

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 …

seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world … whether the Basel framework allows banks to take substantive tail risk in their trading books without a capital requirement … regarding the treatment of tail risk. -- Bank regulation ; bank stability ; Basel framework ; crisis ; tail risk …

choices being observed, compared to anonymity of choices, on risk taking in a laboratory experiment. I relate participants …' investments in a risky asset directly to social norms for risk taking that are elicited in an incentivized procedure. I find that … risk taking is not affected by the choice being observed by a matched participant. Nor do investments follow elicited norms …

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis … successive contracts and purchase protection written on them, even avoiding wrong-way risk mitigation. Higher stock return and … protection purchase on the counterparty would diminish the required capital, this type of risk mitigation could follow regulatory …