This paper compares two alternative strategies, paid-in risk capital and insurance, which firms use to financially … manage a catastrophic risk. The paper first presents a reminder that in the traditional cost of capital model, neither …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ‘static' fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ‘dynamic …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ‘static' fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ‘dynamic …

We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high …-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a … penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a … high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two …-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal …

We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high …-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a … penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk …