This paper criticises the standard methodology used to measure the importance of different channels of risk sharing in …

related to less liquid financial assets from emerging markets. Since investment decisions are based on risk preferences and … investors are commonly risk averse, they tend to limit their risk exposure while defining their investment strategy. Various … risk measures can be used to estimate the level of risk. Value at Risk (VaR) is a widely accepted summary measure of market …

This paper uses the Growth-at-Risk (GaR) methodology to examine how macrofinancial conditions affect the growth outlook …

This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a …, - statistical arbitrage models, - arbitrage-free pricing, risk-neutral implied densities, - equilibrium pricing approaches … intense techniques for pricing, estimation and backtesting, - complex derivative products, - credit and counterparty risk …