This paper analyzes the measure of systemic importance ΔCoVaR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. Inaddition, we develop a series of testing procedures, based on ΔCoVaR, toidentify and...

Abstract: Financial integration has been pursued aggressively across the globe in the last ?fty years; however, there is no conclusive evidence on the diversi?cation gains (or losses) of such e?orts. These gains (or losses) are related to the degree of comovements and synchronization among...

Abstract: Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among...

Abstract:Asset correlations are of critical importance in quantifying portfolio credit risk and economic capital in financial institutions. Estimation of asset correlation with rating transition data has focused on the point estimation of the correlation without giving any consideration to the...

This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...

This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt et al. <CitationRef CitationID="CR10">2009</CitationRef>). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity...</citationref>

Presents an overview of the situation of female migrant labourers and reviews the legislative framework, government policy and private initiatives to protect their rights.