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 …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

of tools—developed at the IMF and externally—to identify the implications of interconnectedness in systemic risk and how …

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

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 …