We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

-border lending data and include country-specific and Europe-wide risk factors as controls. We find a high, time-varying degree of …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures … in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid …

-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …