departures from Guaussian assumptions , and if so, what are the implications for risk modeling that assume normal distribution … of Value at Risk ( VaR) to determine market risk with a Garch model based on conditional volatility. Backtesting using … presence of thick tails, the parametric VaR that relies on normal distribution produces erroneous assessment of risk; (3) GARCH …

is associated with a rollover risk. This rollover risk either keeps intermediaries from providing liquidity optimally, or …

ambiguous effects w.r.t. to the impact of capital market risk as well as inflation risk, which is due to the interplay of … response to positive changes in inflation risk and capital market risk, respectively, with both effects lasting permanently. … risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint …