demanding monetary strategy, in terms of lower tolerance for output and inflation gaps, entails less robustness against … leads to a smaller loss of robustness than taking into account the effect of financial imbalances on the economy. However … including financial imbalances in the monetary policy objective does not necessarily increase policy robustness, and may even …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …