market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … is compared to the traditional risk measure, the Bullet Historical VaR to LIQUIDATION – i.e. VaR Historical …

investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …) significantly reduce foreign net buys, more than global market volatility (VIX). While global volatility drives CDS spreads, these …