In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk … levels. The same results confirm the difference in market risk between Tier 2 and Additional Tier 1 CoCo bonds. The ability …

positive link between investors' uncertainty and market risk. We also find that investors' uncertainty and market risk are …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …