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 …

, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio …

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 …

(relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests …This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated … to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to …

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 … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

develop a macro-financial structural model with two novel features. First, we include idiosyncratic and aggregate risk in a … using Bayesian estimation techniques …

examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk …

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