. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile … measure, VaR disregards valuable information conveyed by the sizes of tail losses. As a result, there is tail risk in the use … of VaR in practice. Saddlepoint technique is used to backtest tail risk of VaR by summing all the tail losses …

bonds, greater risk-bearing capacity in the U.S. than the rest of the world, and nominal rigidities. A flight to safety … generates a dollar appreciation and decline in global output. Dollar bonds thus command a negative risk premium and the U ….S. holds a levered portfolio of capital financed in dollars. We quantify the effects of safety shocks and heterogeneity in risk …

dollar is important for risk sharing, but the evidence suggests that it is primarily a device to shift business cycle risk … widespread view that dollarization raises the risk of systemic banking and other crises. Although we identify sources of …

(iii) exposure to households increased prior to the crisis, but this increased risk was offset by increased capitalization …