We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … that the traditional historical simulation approach, which is currently the most frequently used VaR estimator in …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …

In this paper we use an experiment to compare a theory of risk aversion and a theory of spite as an explanation for … overbidding in auctions. As a workhorse we use the second-price all-pay and the first-price winner-pay auction. Both risk and … spite can be used to rationalize deviations from risk neutral equilibrium bids in auctions. We exploit that equilibrium …

Using an economic model to assess welfare risk and resilience to disasters, this paper systematically tackles the … losses at the microeconomic level. Apart from the prioritization of regions based on resilience and welfare risk, we identify … risk from riverine floods. While there are similarities in the ranking of policies among regions with comparable levels of …

identify an asymmetric information problem: borrowers signal low financial risk to banks who are uncertain about borrower risk …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …