apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … an increase in firm risk on bank lending standards and the economy are amplified in a recession compared to an expansion. … groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of …

Risk parity is an asset allocation strategy designed so each asset class contributes equally to overall portfolio risk … (as measured by volatility). While risk parity offers potential advantages, its success hinges on key assumptions and a … favorable environment for bonds. Like the traditional asset allocation approach it seeks to supplant, risk parity demands a long …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

“First, kill all the bank ... …

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 …

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

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 …

Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current …. Market monitoring of bank risk has typically been tested by regressing market-based risk indicators on various benchmark … indicators (such as accounting ratios and credit ratings) to detect whether the market tracks bank risk. This approach overlooks …