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 …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk … measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall …

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 …

differenced series we are interested in when estimatinginterest rate risk exposures e.g. This paperpresents a method to filter …