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 …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

bonds, greater risk-bearing capacity in the U.S. than the rest of the world, and nominal rigidities. A flight to safety … generates a dollar appreciation and decline in global output. Dollar bonds thus command a negative risk premium and the U ….S. holds a levered portfolio of capital financed in dollars. We quantify the effects of safety shocks and heterogeneity in risk …

these rejections are in part a consequence of the presence of omitted risk factors which are associated with nonzero risk … model should partially reflect exposure to these omitted sources of systematic risk and,hence, should help explain expected … residual risk effect in the previous literature:(1) nonlinearity of the residual risk effect and (2) the inadequacy of the …

the seriousness of this type of risk in the current United States situation are presented. Sufficient conditions on the … structure of the economy for such intergenerational risk pooling to be mutually beneficial to all members of society are derived …

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 …

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