Topic
Financial risk
About: Financial risk is a research topic. Over the lifetime, 11899 publications have been published within this topic receiving 231404 citations. The topic is also known as: economic risk.
Papers published on a yearly basis
Papers
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TL;DR: A research agenda is proposed for developing a new set of risk analytics specifically designed for hedge- fund investments, with the ultimate goal of creating risk transparency while, at the same time, protecting the proprietary nature of hedge-fund investment strategies.
Abstract: Although risk management has been a well-ploughed field in financial modeling for over two decades, traditional risk management tools such as mean-variance analysis, beta, and Value-at-Risk do not capture many of the risk exposures of hedge-fund investments. In this article, I review several aspects of risk management that are unique to hedge funds - survivorship bias, dynamic risk analytics, liquidity, and nonlinearities - and provide examples that illustrate their potential importance to hedge-fund managers and investors. I propose a research agenda for developing a new set of risk analytics specifically designed for hedge-fund investments, with the ultimate goal of creating risk transparency while, at the same time, protecting the proprietary nature of hedge-fund investment strategies.
53 citations
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TL;DR: In this paper, the authors present a special issue of the European Association of Evolutionary Political Economy (EAEPE) 2016 Special Session of the Research Area “Environment-Economics Interactions” of the EAEPE's conference 2016, which collected nine papers applying evolutionary and complex systems approaches, and agent-based and network models to climate change economics.
53 citations
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TL;DR: In this paper, the authors use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and show how local shocks can propagate throughout the network and affect the balance sheets in other, even seemingly remote, parts of the financial system.
Abstract: The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and show how local shocks can propagate throughout the network and affect the balance sheets in other, even seemingly remote, parts of the financial system. We then use the contingent claims approach to extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system constitute important channels through which local risk exposures and balance sheet dislocations can be transmitted, with the financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to increase a sector’s vulnerability to shocks and contagion. JEL Classification: C22, E01, E21, E44, F36, G01, G12, G14
53 citations
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TL;DR: In this paper, a negative relationship between economic activity and an external financial indicator was found for several emerging economies using micro-level data on spreads of bonds issued by EMEs' corporations in foreign capital markets.
53 citations
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TL;DR: In this article, the authors trace the causes of the financial crisis and the role of the Dodd-Frank Act in providing a framework for preventing recurrence, and describe what must be done to identify emerging systemic financial risk.
Abstract: Until two years ago, it was believed that the financial system as a whole was self-correcting and that modern tools of stabilization policy—monetary policy in particular—were sufficient to prevent severe economic contractions. We now know that we need a robust system of regulation and supervision that will recognize and prevent financial excesses before they lead to crisis, while at the same time maintaining an environment conducive to financial innovation. This address traces the causes of the crisis and the role of the Dodd-Frank Act in providing a framework for preventing recurrence. It then describes what must be done to identify emerging systemic financial risk, the tools and implementation of macroprudential financial supervision that must be developed, and the role of coordination between monetary policy and macroprudential supervision. Prevention of crises will not be easy—particularly because it will be necessary to walk a tightrope between prevention of catastrophe and keeping too tight a hold on the financial system.
53 citations