equilibrium. Paper [III] studies the risk-return profile of centralized and decentralized banks. We address the conditions that … potential borrowers may nevertheless give a decentralized bank a lower overall risk in the lending portfolio than when decisions … the calculation of the Value at Risk. In particular, a seller seeking to liquidate a large portfolio may not face …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected … sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was … shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was …

This paper uses the average of the percentile ranking of three measures of systemic risk - Granger Causality, Marginal … Expected Shortfall, and Conditional Value at Risk - to calculate a single systemic risk index (SRI) for a lrm. The SRI is used … quarter from 2000 to 2012, and lnds that the cumulative risk of the SIFs tracks the changes in systemic risk in India during …