portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …

This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The … in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …

suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …

unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …