Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

This paper examines how governance and risk management affect risk-taking in banks. It distinguishes between good risks … such a reward. A well-governed bank takes the amount of risk that maximizes shareholder wealth subject to constraints … cost effective to do so. The role of risk management in such a bank is not to reduce the bank's total risk per se. It is to …

aggregate uncertainty. Gains from more efficient capital allocation and gains from risk sharing are accounted for simultaneously …

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 …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

This paper examines the optimal allocation of risk in an overlapping-generations economy. It compares the allocation of … risk the economy reaches naturally to the allocation that would be reached if generations behind a Rawlsian 'veil of … ignorance' could share risk with one another through complete Arrow-Debreu contingent-claims markets. The paper then examines …