to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields … insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we … coherent and multivariate tail risk indicator conditional expectile-based VaR (CoEVaR) can be derived, which is sensitive to …

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

Risk measurement and pricing of financial positions are based on modeling assumptions, which are common assumptions on … model risk by considering a model space. First, we incorporate model risk into market risk measures by introducing model … weighted and superposed market risk measures. Second, we quantify model risk itself and propose axioms for model risk measures …

) risk. It builds on a manually collected set of data on FX positions and the maturity structure of assets and liabilities of … average, face no liquidity risk and that exposure to FX risk is lower than commonly assumed. Linking risk exposure to … institutional characteristics, I find that legal status and regional affiliation are correlated with risk exposure while regulatory …

The study investigates the influence of foreign institutional investment on the risk-return profile of firms. Corporate … risk is analyzed as business risk and financial risk in this study. The impact of foreign institutional investor's (FII …) holding on business and financial risk taking behavior is studied on 174 listed non-financial firms in India using panel …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

The study focused on the impact of the short-term and long-term financial risk on systematic risks through analyzing … 93.58% according to short and long-term financial risk under two control variables which are market capitalization of the …, and Alaghi, 2011, the study found that short-term financial risk increased which was explained by common stock …

) risk. Using manually collected data from microfinance institutions' financial reporting, I find that the microfinance … sector faces minimal liquidity risk, high interest rate risk and a lower than commonly assumed exposure to FX risk. Linking … risk exposure to institutional characteristics, the data shows that legal status and regional affiliation are correlated …

Risk Management …