This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected … shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as … 2007-2008, we fnd that the simplicity of tail-based risk management with a tail-targeting EV model is more attractive …

monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank …

Management risk occurs when uncertainty about future managerial decisions increases a firm's overall risk. This paper … argues that management risk is an important yet unexplored determinant of a firm's default risk and the pricing of its debt …. CDS spreads, loan spreads and bond yield spreads all increase at the time of CEO turnover, when management risk is highest …

risk as the Basel process unfolds. Most strikingly, we find that the exposure to systemic risk as measured by SRISK has … in containing systemic risk for the majority of European banks but not for the largest institutions. In the second part … we analyse the drivers of systemic risk. We find compelling evidence that the increase in exposure to systemic risk …

risk as the Basel process unfolds. Most strikingly, we find that the exposure to systemic risk as measured by SRISK has … in containing systemic risk for the majority of European banks but not for the largest institutions. In the second part … we analyse the drivers of systemic risk. We find compelling evidence that the increase in exposure to systemic risk …

. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile … measure, VaR disregards valuable information conveyed by the sizes of tail losses. As a result, there is tail risk in the use … of VaR in practice. Saddlepoint technique is used to backtest tail risk of VaR by summing all the tail losses …