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 …

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 …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only …

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 …

unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …

suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …

and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk …, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States …. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward …