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 …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a …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 …

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 …

place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

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

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 …