and default) and spread risk (represented by rating specific spread indices) combine to a total value-at-risk (VaR) 50 … 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 …

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 … up to four contagion defaults could occur due to an exogenous shock, the system-wide 99.9% VaR barely exceeds 1.5% of …

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 …

I propose a Bayesian quantile VAR to identify and assess the impact of uncertainty and certainty shocks, unifying Bloom … real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis … successive contracts and purchase protection written on them, even avoiding wrong-way risk mitigation. Higher stock return and … protection purchase on the counterparty would diminish the required capital, this type of risk mitigation could follow regulatory …

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 …

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