a two-state world, implies that haircuts will adjust to render all lending riskless, and that a loss of risk capital on … default risk is in the form of higher default premia. Further, with high initial leverage, reductions in risk capital decrease …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …

participants, our framework studies security repurchase agreements between risk-averse borrowers and lenders. In this manner, repo … agreements are part of an efficient risk-sharing arrangement. In turn, properties of the agreements depend on environmental … conditions such as the degree of risk aversion, default risk, and the market value of collateral. Previous work based upon risk …

A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions … utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail … systemic risk at selected areas and identifies risk factors. In practice, FRM is applied to the return time series of selected …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

The financial crisis exposed enormous failures of risk management by financial institutions and of the authorities … assess where the balance has been struck between the robustness and the risk sensitivity of the capital framework. This paper … fundamental tradeoffs that may exist between robustness, complexity, and risk sensitivity. We review the history of risk …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …