vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity …

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …

Measuring and managing exchange rate risk exposure is important for reducing a firm''s vulnerabilities from major … traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR … approach as the currently predominant method of measuring a firm''s exchange rate risk exposure, and examines the main …