diversification guidelines weaken the link between size and volatility. …

We exploit the information content of option prices to construct a novel measure of bank tail-risk. We document a … persistent increase in tail-risk for the U.S. banking industry following the global financial crisis, except for banks designated … as systemically important by the Dodd-Frank Act. We show that this post-crisis difference in tail-risk for large and …

(i.e. tail-risk) and explore cross-sectional differences between large banks with at least $50B in assets identified as … systemically important and smaller banks. I document a permanent increase in the average tail-risk of the U.S. banking industry as … stark post-crisis difference in tail-risk for banks above and below the $50B threshold is consistent with the notion that …

exposure, and 3) Introducing a self-standing microfinance sector presents few diversification benefits. This paper confirms …

In this paper, the author demonstrate a practical approach for measurement, management and control of market risk … exposure for financial trading portfolios. This approach is based on the renowned concept of Liquidity-Adjusted Value at Risk …

diversification guidelines weaken the link between size and volatility …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …