Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …

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 …

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the … identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided …. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Second, evaluating the …

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 …

This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in … banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk … that is related to covariance with the market portfolio) and residual risk (the aggregate of specific risk and extra …

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 models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the …

with endogenous solvency constraints. These solvency constraints are such as to prevent default at the cost of reduced risk … kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia …

national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used … today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk … to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets …