We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

Die besten Themen des Online-Magazins RiskNEWS vermitteln dem Leser Trends und Entwicklungen im Risikomanagement, von der Einführung von Risikomanagementsystemen über die statistische Modellierung des Zinsänderungsrisikos bis zur Analyse des Enron-Debakels