Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

be extended to take account of the systematic risk in financial instruments. This extension is easy to implement in … of interest for risk. The paper clarifies why the risk-related income is not part of the output-or equivalently, why risk … money" theory. Once it is established that only financial services, and not instruments, should be counted as the value …

be extended to take account of the systematic risk in financial instruments. This extension is easy to implement in … of interest for risk. The paper clarifies why the risk-related income is not part of the output - or equivalently, why … risk bearing is not a service - of financial institutions. The paper next argues that, to measure real output, one must …

like credit risk, market risk, liquidity risk, interest rate risk and so on. For them, financial risks pose a far more … the financial risks. Little do they realise the significance of non-financial risks (NFRs), such as operational risk …, conduct risk, and compliance risk. These NFRs have a potential to wreak havoc on their financial objectives, apart from …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank …We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its … computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure.Here we … show that exposures computed under the risk neutral measure are essentially arbitrary. They depend on the choice of …

Risk (VaR) framework for the market risk capital of bank trading books. While the new rule boosts capital standards, the … capital requirement seems overly burdensome and not sufficiently responsive to market dynamics. It also increases model risk … and opaqueness of capital estimates. Chaudhury (2011) recently reported that the extreme tail risk of US stock portfolios …

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …