important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

towards risk. …

This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely … last 250 days reflect a calm market for which the efficient-market hypothesis could hold. Thus it is argued that a value-at-risk …

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial markets' organization. We assess the degree of risk sharing that can be achieved through … for optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries provide …