particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …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 …

the guarantee-extending parties to "walk away". I derive the optimal risk management rule in such a framework and show … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net … risk management rules, and can account for phenomena such as "flight to quality" …

This paper assesses the current state of knowledge about crisis risk and its implications for risk management. Better … data that became available since the Global Financial Crisis (GFC) has improved our understanding of crisis risk. These …

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 …

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 …

Network, established in 2012, brings together researchers from around the world with access to micro-level data on individual … studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

Discussions of financial risk often fail to distinguish between risks that are consciously borne and those that are not …. To understand the breeding conditions for financial crises the prime focus of concern should not be simply on large risk … balance sheet of the public sector. The paper also discusses how risk exposures can be measured, hedged and transferred …

We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We … find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, both across …