Value at risk was calculated on the GAP between loans and deposits of the banks of the Azerbaijan banking system with … 95% of confidence level and holding periods for 10 days. The average interest rates of loans were taken as risk factor in … one of the market risk factors don't follow the normal distribution. Calculation of VAR of these banks wasn't possible by …

Measuring interconnectedness in a banking system and identifying the transmission channels of systemic risk is a main … issue for the analysis of financial stability. We develop a methodology based on conditional tail risk networks to assess … of the ∆CoVaR approach by Adrian and Brunnermeier (2016). From the conditional tail risk networks we can then compute …

risk. Recent theoretical and empirical work have addressed this problem. We argue, from a theoretical perspective, that … this controversy ultimately depends on how risk is assessed or measured. In particular, we observe that when one talks … about random losses (risk) there are two intertwined approaches. On the one hand, one can fix the loss level and ask with …