literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events …

exposed to credit and interest rate risk and demonstrates how the model can be calibrated empirically. The main features of … macroeconomic risk factors, 3) Principal component analysis helps to reduce the dimensionality of the space of systematic risk … factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …