In this paper, motivated by existing and growing evidence on multiple macroeconomic volatilities, we extend the long-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of economic fundamentals. With this extension, the new...

This paper introduces the CORE methodology for managing risk of multi-market central-counterparties. CORE generalizes the classical SPAN method of stress scenarios by incorporating explicitly market liquidity of listed instruments and modeling the liquidity pro file of OTC instruments and the...

Portfolio risk, introduced by Markowitz in 1952, and defined as the standard deviation of the portfolio return, is an important metric in the Modern Portfolio Theory (MPT). A popular method for portfolio selection is to manage the risk and return of a portfolio according to the...