Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

be extended to take account of the systematic risk in financial instruments. This extension is easy to implement in … of interest for risk. The paper clarifies why the risk-related income is not part of the output-or equivalently, why risk … money" theory. Once it is established that only financial services, and not instruments, should be counted as the value …

be extended to take account of the systematic risk in financial instruments. This extension is easy to implement in … of interest for risk. The paper clarifies why the risk-related income is not part of the output - or equivalently, why … risk bearing is not a service - of financial institutions. The paper next argues that, to measure real output, one must …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

like credit risk, market risk, liquidity risk, interest rate risk and so on. For them, financial risks pose a far more … the financial risks. Little do they realise the significance of non-financial risks (NFRs), such as operational risk …, conduct risk, and compliance risk. These NFRs have a potential to wreak havoc on their financial objectives, apart from …

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …

Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk … structure of the Granger-causality tail risk networks to identify periods of distress in financial markets and possible channels … of systemic risk propagation. Combining measures of connectedness of these networks with the ratings of the sovereign …

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non …'s systematic risk, idiosyncratic risk, size or contagiousness increases the risk of the system but lowers the measured SRC of the … potentially adverse side effects: A change in a bank's risk structure can make the measured SRC of its competitors increase more …

requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference …-in-differences setup featuring partial US implementation relative to full EU adoption, we find that the introduction of operational risk …

of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and …