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 makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal … user cost of funds") for the risk inherent in that corresponding financial transaction. Otherwise, nominal financial output …

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 …

, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset … their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk …

predictors are often neglected. Within each segment (prime/nonprime) loan rates are not very responsive to default risk …, resulting in realized loan-level returns decreasing with risk. The pricing distortions result in substantial transfers from … nonprime to prime borrowers and from low- to high-risk borrowers within segment …

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" …

assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC … filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of …, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset …