stocks, which we contend measures the economy's risk appetite. Our novel proxy for risk appetite explains 41% of the …, the real rate forecasts returns on volatile stocks, confirming our interpretation that changes in risk appetite drive the … real rate. Increases in our measure of risk appetite are followed by a boom in investment and output …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on … institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR … leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a …

Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this … of cash flow, allowing regulators to assess risk magnitudes in terms of stresses to both economic values and also …

probability distributions. This paper also explores the theoretical foundations of risk ranking, including proving a key …

national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used … today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk … to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets …

. A novel channel of risk sharing of volatility risks can explain our empirical findings …