One important source of systemic risk can arise from asset commonality among financial institutions. This indirect … portfolios. In this paper, we propose a new methodology for identifying and assessing banking sector systemic risk stemming from … compute bank portfolio sensitivities to a large number of risk factors (e.g. interest rates, equity prices, credit spreads …

We consider an investor whose objective is to trade off tail risk and expected growth of the investment. We measure … tail risk through portfolio's expected losses conditioned on the occurrence of a systemic event: financial market loss … adjustment for systemic risk. We show that VaR and CoVaR confidence levels control, respectively, the relative sensitivity of the …

interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market … the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry … Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji …

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 …

stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

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 …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be … leverage to still mitigate an increase in systemic risk. In our model, this optimal diversification further depends on the … leverage does not result in an increase of systemic risk, and a risky regime, in which excessive leverage cannot be mitigated …