Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk … matrix forecasts using standard statistical loss functions and a value-at-risk (VaR) framework. This framework consists of …

from their stock (and bond) prices would take less risk than non-publicly traded banks because counterparties, borrowers …, and regulators could react to adverse public market signals against publicly traded banks. In comparing the credit risk …, earnings risk, capitalization, and failure risk between publicly traded and non-publicly traded banks, the evidence in this …

example, the 1997 Market Risk Amendment (MRA) formally incorporates banks' internal, value-at-risk models into regulatory … as by the IIF (1998) and ISDA (1998), argue that credit risk models should also be used to determine risk … forecasts available due to the long planning horizons typical of credit risk models. Using a panel data approach, we propose …

past gains and losses on investors’ risk aversion. The paper first presents a simple model examining how heterogeneous … changes in investors’ risk aversion affects portfolio decisions and stock prices. Second, the paper shows empirically that …

A fixed-rate deposit insurance system provides a moral hazard for excessive risk taking and is not viable absent … turn, caused banks to- increase default risk through increases. in asset risk and reductions in capital. This hypothesis is …