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 …

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 …

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. 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 …

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 …

) 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 …

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 Management …

daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of … alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily … realized losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety …