Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use … of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for … of the exercise is to identify the best models for risk management in each period according to the minimization of …

an initial shock and on history, minus the baseline expectation that conditions on history. This makes the process … endogenous, but the choice of the baseline shock within the data set makes a difference. We explore the impact of three different … government allowed the investment bank Lehman Brothers to go bankrupt (GFC2). The third shock is 9 May 2010, which marked the …

). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …

testing have good size and high power. Thereafter, academics and practitioners could apply theory to analyse some interesting …

testing have good size and high power. Thereafter, academics and practitioners could apply theory to analyse some interesting …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …