We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. …

in models by analysing the measurement of duration dependence of unemployment. Since search theory can’t be made … - provided the models is calibrated - this suffice for measurement. This paper explores this construction of a measuring device … measurement to take place by modelling behaviour according to some assumptions, which operate as constraints. While this Weibull …

the present suboptimal economy. We discuss pros and cons of our approach for the measurement of welfare compared with … other approaches to applied welfare economics, especially the measurement of deadweight loss. …

The measurement of social norms plays a pivotal role in many social sciences. While economists predominantly conduct …, on the one hand, often fall short in the measurement of more complex elements, such as the conditionality or the level of …

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the … special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a … representation theorem for dynamic risk measures and investigate their relation to static risk measures. Two notions of dynamic …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some … individual portfolios' realization vectors and a coherent measure of risk. We consider sharing the risk of the aggregate … portfolio by studying transferable utility cooperative games: risk allocation games. We show that the class of risk allocation …

We extend the definition of a convex risk measure to a conditional framework where additional information is available …. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of … conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of …