apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

the "fuzziness" with which financial (in)stability can be measured. We review the available measurement methodologies and … measurement does not prevent further progress towards an operational framework, as long as it is appropriately accounted for … stabilisers rather than discretion, thereby lessening the burden on the real-time measurement of financial stability risks; and …

July 1988 which had the primary objective of “International Convergence of Capital Measurement and Capital Standards”. In … emergence of VaR model in risk management. The homegrown Asian crisis of 1997-98 forced the Basel Committee to introduce a …

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure …

changes in the global risk landscape that followed. However, there is scarcity of rigorous studies using empirical data and … analyses of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after … over time, and also tests of the changes in the conditional Value-at-Risk or conditional expected losses. The Clayton …