The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing value at risk (VaR)-implied correlation....

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel measure of downside risk, the ES-implied beta, to...

The South African government offers various support mechanisms to support Eskom, the state-owned electric utility, and the independent power producers in providing low-cost electricity, including credit and payment guarantees. Guarantees constitute contingent liabilities to the government and...

As part of their commitments under the World Trade Organization's Agreement on Trade Facilitation, many developing countries are set to adopt risk management, a strategy for selecting import shipments for inspection. This paper formalizes key enforcement issues related to risk management. It...

Considerable work has been done to understand and improve the resilience of individual infrastructure components. However, systems of components, or even systems of systems, are far less well understood. Cascade effects, where the loss of one infrastructure affects others, is a major source of...

Traditional risk assessments use asset losses as the main metric to measure the severity of a disaster. This paper proposes an expanded risk assessment based on a framework that adds socioeconomic resilience and uses wellbeing losses as its main measure of disaster severity. Using a new,...

An asset and liability management framework for managing risks arising from sovereign foreign exchange obligations requires a joint analysis of (i) the external financial liabilities resulting from a country's sovereign debt and (ii) the foreign exchange assets of its central bank. Governments...

This paper examines how providing better information to customs inspectors and monitoring their actions affects tax revenue and fraud detection in Madagascar. First, an instrumental variables strategy is used to show that transaction-specific, third-party valuation advice on a subset of...

This paper examines the interaction between macro-financial and climate-related risks. It brings together different strands of the literature on climate-related risks and how these relate to macro-financial management and risks. Physical impacts of climate change as well as the transition toward...

The ability to manage financial risk is especially important for people earning their living through agriculture. Many farmers only get paid once or twice a year, and households need to stretch their earnings across the year by saving or borrowing money. Moreover, agricultural production faces a...