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 …

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

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 …

policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying …

States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf …