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 …

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 …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

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 …

What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …

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 …

banks to pursue safer investments in low-risk government securities …