Why should risk management systems account for parameter uncertainty? In addressing this question, the paper lets an investor in a credit portfolio face non-diversifiable uncertainty about two risk parameters - probability of default and asset-return correlation - and calibrates this uncertainty...

We propose a method for measuring the systemic importance of interconnected banks. In order to capture contributions to system-wide risk, our measure accounts fully for the extent to which a bank (i) propagates shocks across the system and (ii) is vulnerable to propagated shocks. An empirical...