The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in … this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to … performance of eleven near-term systemic risk indicators as ‘early’ warning of distress among top financial institutions in the …

doubt on the effectiveness of regulations and risk management systems based on a single Value-at-Risk (VaR) constraint …. While some researchers have recommended using Conditional Value-at-Risk (CVaR) to control tail risk, VaR remains popular … constraint. These results suggest that regulations and risk management systems based on multiple VaR constraints are more …

We present a fully non-parametric method for extracting risk neutral densities (RNDs) from observed option prices. The …

Derivatives are designed as complex financial instruments and their main aim is to manage the risk associated with the …, speculative bubbles, underperforming risk management, liquidity injections and structural imbalances. Despite the fact that is a …