the equity risk, investors can (unintentionally) force the conversion by making the share price deteriorate and eventually …

normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market … conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price … default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies …

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial … contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is … typically unavailable in closed form. This makes it difficult to accurately compute Value-at-Risk (VaR) and expected shortfall …

focus on the worst case scenario over the observation period, the Great Depression. We find that migration risk and the … regulation, to 3years. Increases are still important but of a lower magnitude when migration risk is introduced in the analysis …

scenarios, which are risk factor distributions rather than realisations. A Maximum Loss theorem explicitly gives the worst case …

risk measurements widely used in the literature, the riskiness index employed in our method satisfies monotonicity with …

its consistency (monotonicity) with respect to the dependence parameter. We define the systemic risk contribution of an … financial distress. We estimate the systemic risk contributions of four financial industry groups consisting of a large number …. We also investigate the link between institutions’ contributions to systemic risk and their characteristics. …