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ABSTRACT This paper shows that traditional measures of bond systematic risk based on unadjusted past returns have very large downward biases. After we develop an improved method for calculating the market...
ABSTRACT This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this approximation...
ABSTRACT Because publicly available measures of deposit runoff risk are scarce, regulators' models to measure interest rate risk in the banking book are based on very coarse assumptions about the allocation...
ABSTRACT This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution...
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