returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and … expected shortfall measures, used by regulators, investors, portfolio managers and actuaries to measure and manage the risk … value at risk, expected shortfall and downside risk measures for asset values and returns based on the SGT distribution. An …

We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data … between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt … by sound risk-return considerations, suggesting a lessening of the doom loop. This result is mainly driven by banks in …

asset allocation. We find that all three regulatory changes significantly impact risk premia, with impacts differing across …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …

We study a regulation that increased mutual funds' risk salience through name change. Using daily fund flow data and … their exposure to the particular risk highlighted by the regulator …