The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a … range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational …) whose distributional shapes vary considerably. In this paper, we use the method of copulas to construct the joint risk …

We define CoVaR as the value at risk (VaR) of financial institutions conditional on other institutions being in … distress. The increase of CoVaR relative to VaR measures spillover risk among institutions. We estimate CoVaR using quantile … regressions and document significant CoVaR increases among financial institutions. We identify six risk factors that allow …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

high level of trust among all groups, with students enrolled at Madrassas being the most trusting and exhibiting the … or systematic out-group bias either in trust or tastes. These findings cast doubt on the general perception that …

Although small firms are most sensitive to interest rate and other shocks, empirical work on corporate risk management … firms manage their exposure to interest rate risk. The cross-sectional findings are as follows: credit-constrained firms … financial contracting helps small U.S. firms ameliorate interest rate risk, and discuss the implications for risk management …