Tail RiskOptionsRisk ManagementValue-at-RiskExpected ShortfallWe present an analytical framework for the forward-looking measurement of extreme market risk. In contrast to standard techniques relying on past return data, wdoi:10.2139/ssrn.2909808Huggenberger, Markus...
(2012), "Forward-Looking Tail Risk Exposures at U.S. Bank Holding Companies", Journal of Financial Services Research 42 (1), pp. 35-54.M. Knaup and W. Wagner. Forward-looking tail risk exposures at us bank holding companies. Journal of Financial Services Research, 42(1-2):35-54, ...
This paper develops a simple method for quantifying banks' exposures to large (negative) shocks in a forward-looking manner. The method is based on estimating banks' share prices sensitivities to (market) put options and does not require the actual observation of tail risk events. We find that...
The contribution of (shadow) banks and real estate to systemic risk in China 2022, Journal of Financial Stability Citation Excerpt : They find that the time-series results for the CoVaR and MES measures suggest that systemic risk in the Chinese banking system decreased after the global financial...
The Bank also utilizes non-GAAP financial measures referred to as "adjusted" results (i.e., reported results excluding "items of note", net of income taxes) to assess each of its businesses and measure overall Bank performance. Adjusted net income, adjusted earnings per share (EPS) and ...
Risk events (44) related loss measures can be scattered over multiple causing units (4) and/or multiple related clash events (44). The multi-risk forecast system (1) provides loss-generating processes and events (44), wherein the inventive risk splitter (11) is a technical core element to...
However, as rising air pollution levels in urban India have become a major concern, it has become necessary to strengthen the I/M system and take suitable measures to reduce vehicle emissions and ameliorate the resulting health hazards in urban India. Similar issues might also be persistent in ...
Are you looking for a hobby? You can’t keep scores if you don’t know what game you are playing. After my mom’s partner quit, she had to abandon her business to support herself. She swore she would run a business again and do it differently the next time. However, there wasn’t...
Are you looking for a hobby? You can’t keep scores if you don’t know what game you are playing. After my mom’s partner quit, she had to abandon her business to support herself. She swore she would run a business again and do it differently the next time. However, there wasn’t...
Risk events related loss measures can be scattered over multiple causing units or multiple related clash events. The multi-risk forecast system provides loss-generating processes and events, wherein the inventive risk splitter is a technical core element to generate an event-related loss distribution ...