Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity … on funding debt. Typical VaR ""buffer stock"" capital calculations produce biased estimates. To ensure accuracy, VaR must …

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It … approaches to assess and monitor cyber risk to the financial sector, including various approaches to stress testing. The paper …

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 …

economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge … 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 …

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 …

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

interest expenses from their profits. In this case, the tax shifting results in an increase in the corporate risk premia, a …

Are assets in a landlocked country subject to sea-level rise risk? In this paper, we study the cross-border spillovers … data between 1970 and 2018, we observe that globalization increased the similarity of countries' global climate risk …

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