We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on … observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers …, (ii) investigating the role of portfolio composition in risk transfer, and (iii) computing target exposure structures able …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory … correlation diversification measures, the market portfolio diversification measures and the risk contribution diversification … diversification measures that we distinguish from the notion of coherent risk measures. We provide the decision-theoretic foundations …

This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory … correlation diversification measures, the market portfolio diversification measures and the risk contribution diversification … diversification measures that we distinguish from the notion of coherent risk measures. We provide the decision-theoretic foundations …

kind of risk. Moreover, the empirical implementation of basket-option models is not yet well developed, particularly when …