disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …

traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and … specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction … relies on a backtesting framework, for integrating the global model risk into VaR estimates …

This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence … of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as … stochastic deterioration can be decomposed into a "correlation increase'' and a "marginal risk increase''. We further …