Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of …

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

for market risk. The Committee has focused, among other things, on the two key areas of moving from Value-at-Risk (VaR) to … Expected Shortfall (ES) and considering a comprehensive incorporation of the risk of market illiquidity by extending the risk … value of the portfolio as a quadratic approximation of the change in value of the risk factors, and some of the state …