I provide a measure of time-varying tail risk in credit markets based on a dynamic power-law model. Credit tail risk is … existence of a finite second moment. Sellers of short-term CDS protection bear a higher tail risk of more extreme returns than … probability of credit default imply a greater tail risk than in the peripheral region. This phenomenon can be explained by the …

The underlying asset pool of collateral debt obligations (CDOs) simultaneously encompasses credit risk and market risk …. However, the standard CDO pricing model not only underestimates the risk to the asset pool due to a poor description of the … systematic sudden shocks on the asset pool. This paper studies the joint impact of interrelated market and credit risk factors on …

between short-term repo and long-term investments that banks need to finance. The resulting rollover risk in repo financing … failing mechanism. I show that, as in the crisis, when collateral risk increases unexpectedly, the haircut and interest rate …

conditional expectation in order to maintain expected shortfall as a coherent risk measure. They also provide a definition of …

This paper constructs Value at Risk (VaR) measures from a stochastic volatility model with a discrete bivariate mixture …