We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on … institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR … leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …

with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other … transactions that look to capital markets, rather than traditional reinsurance markets, for risk-bearing capacity. These provide …This paper examines the market for catastrophe event risk i.e., financial claims that are linked to losses associated …

This paper discusses the recent changes in the market for catastrophe risk. These risks have traditionally been … distributed through the insurance and reinsurance systems. However, because insurance companies tend to share relatively small … protection should not be too high; dollar amounts of risk transfer should not be too small; loss triggers should be beyond …

transferring risk are being explored. The paper studies several recent transactions by USAA which use reinsurance capacity from …This paper examines the market for catastrophe event risk -- i.e., financial claims that are linked to losses … demonstrate that both features deviate from what theory would predict, yet are characteristic of many transactions, not simply …

We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value …-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less … supply of intermediary capital is perfectly elastic. We take the US catastrophe reinsurance market as an example, using …

public sector, it may be economically rational for those at risk not to invest in protective measures. Risk management …. These may include multi-year insurance contracts, well-enforced regulations, third-party inspections, and alternative risk …

how it affects rational investors' demand for event risk exposures. We show that while parameter uncertainty does indeed … have the most sensible correlation settings, parameter uncertainty tends to decrease the size of bond spreads. We therefore … argue that parameter uncertainty does not appear to be a satisfactory explanation for high event-risk returns …

The Centers for Medicare and Medicaid Services (CMS) has phased in the Hierarchical Condition Categories (HCC) risk … beneficiary's health status. However, it is debatable whether the CMS-HCC model has led to strategic evolutions of risk selection …. We examine the competing claims and analyze the risk selection behavior of MA plans in response to the CMS-HCC model. We …