This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

its assets. This paper provides a normative analysis of minimizing such rollover risk, through the optimal dynamic choice …

Under the New Basel Accord bank capital adequacy rules (Pillar 1) are substantially revised but the introduction of two … complementarity between Pillar 1 (risk-based capital requirements) and Pillar 2. In particular, the paper focuses on the role of …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

which financial markets were trying to allocate risk between heterogeneous agents when productive investment opportunities … are scarce. We begin by showing how heterogeneity in terms of risk tolerance can cause financial markets to propagate …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

-contribution (DC) plans that typically contain a minimum benefit guarantee (DC-MB). Risk management techniques must be used to control … the Samp;P500. Calculations show that the true risk-adjusted value of unfunded guarantees in a realistic DC-MB plan equals … 'basis risk' if they chose a non-standard portfolio. However, for large conversions from DB to DC-MB plans, in which there is …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

novel insights on the effects of unconventional monetary policies in developed economies. We argue that bank lending might … banks to pursue safer investments in low-risk government securities …