model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out-of-sample Value-at-Risk …

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 …

uncertainty. The firm faces additional sources of uncertainty that are aggregated into a background risk. We show that the firm … always chooses its optimal debt-equity ratio to minimize the weighted average cost of capital, irrespective of the risk …. When the background risk is either additive or multiplicative, we provide reasonable restrictions on the firm's preferences …

liability and deposit insurance appear to give banks incentives for excessive risk-taking. Capital requirements can alleviate … this problem as banks are obliged to hold more capital which forces them to have more of their own funds at risk. But the … theoretical literature has much more to say on how banks determine their capital structure and portfolio risk and how capital …

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. …

Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of … corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial … crisis. Thus, methods for measuring credit risk, default probabilities, and recoveries have caught more and more attention in …

Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … problem, several approaches have been suggested including the historical simulation method. The optimization problem can be … tackled using recent advances in heuristic optimization algorithms. However, our application to bond portfolios shows that a …

financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of … firms with high credit risk. The ratio also declines for longer holding periods. We also observe a positive correlation …