Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

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 …

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …

discussion of dependency ratios. Two alternative measures of age are explored: mortality risk and remaining life expectancy. With …. In a separate application of age measurement, I examine the consequences of stabilizing labor force participation by age …