Journals

A theory for combinations of risk measures

This paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.

Climate-policy-relevant sectors and credit risk

This paper explores the relationship between banks exposed to climate-policy-relevant sectors and credit risk, finding that banks exposed to higher carbon emitting sectors are subject to greater credit risk than those exposed to less carbon emitting…

Value-at-risk and the global financial crisis

The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…

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