Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

methodologies explored by South Africa to assess the credit risk from guarantees extended to Eskom. To manage and closely monitor … this risk, a dedicated Credit Risk directorate in the Asset and Liability Management division at the National Treasury of … South Africa has implemented a risk assessment and management framework, supported by the World Bank Treasury. The team …

overarching asset and liability management strategy and integrated approach on the efficient management of foreign exchange risk …. It provides policy recommendations on ways to minimize the risk of foreign exchange mismatches and increase the return on …