We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework in which to efficiently compute the most popular risk measures, value-at-risk and expected shortfall (also known as conditional value-at-risk). The only ingredient...

Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral,...

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future extreme events of another time series. The topology and...

By exploiting basic common practice accounting and risk management rules, we propose a simple analytical dynamical model to investigate the effects of micro-prudential changes on macro-prudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that...