In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....

In this paper, we analyze the implications arising from imposing a Conditional Value-at-Risk (CVaR)constraint in an agent's portfolio selection problem, and compare them with those arising from the imposition of a Value-at-Risk (VaR) constraint. For a given confidence level, a CVaR constraint is...

In this paper, we analyze the economic implications arising from imposing a Conditional Expected Loss (CEL) constraint in the portfolio selection problem of a fund manager, and compare them with those arising from the imposition of a Value-at-Risk (VaR) constraint. For a given confidence level...

We examine the economic implications arising from using a VaR-constrained mean-variance model for portfolio selection and for the calculation of a bank's minimum regulatory capital. Surprisingly, we show that it is plausible that when a VaR constraint is imposed, certain risk-averse agents end...

We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows the manager is likely to be...