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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...
Persistent link: https://www.econbiz.de/10005123557
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Market Liquidity and Funding Liquidity
Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2007
related to volatility, (iv) is subject to 'flight to quality', and (v) comoves with the market, and it provides new testable …
Persistent link: https://www.econbiz.de/10005067436
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Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
Pesaran, M Hashem; Zaffaroni, Paolo - C.E.P.R. Discussion Papers - 2005
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10005067642
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Risk Management with Benchmarking
Basak, Suleyman; Shapiro, Alex; Teplá, Lucie - C.E.P.R. Discussion Papers - 2005
Portfolio theory must address the fact that, in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance. We capture this risk management consideration by allowing a prespecified shortfall from a...
Persistent link: https://www.econbiz.de/10005114400
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Modelling Scale-Consistent VaR with the Truncated Lévy Flight
Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2001
augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …-day volatility, precisely a ?-root-of-time rule, where ? is the characteristic parameter of the process. We use this rule to forecast … future volatility and as a result estimate Value-at-Risk (VaR) several days ahead and compare it to the RiskMetricsTM (1996 …
Persistent link: https://www.econbiz.de/10005792337
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A Framework for Cross-Country Comparisons of Public Infrastructure Constraints on Firm Growth
Carlin, Wendy; Schaffer, Mark E; Seabright, Paul - C.E.P.R. Discussion Papers - 2010
How should a policy-maker prioritize interventions to improve the public infrastructure with which firms operate and how large are the benefits from doing so likely to be? To address these questions we use survey data on the obstacles arising from poor quality public inputs that managers face in...
Persistent link: https://www.econbiz.de/10008468531
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Where Are the Real Bottlenecks? Evidence from 20,000 Firms in 60 Countries About the Shadow Costs of Constraints to Firm Performance
Carlin, Wendy; Schaffer, Mark E; Seabright, Paul - C.E.P.R. Discussion Papers - 2006
We use data from over 20,000 firms in 60 countries to identify constraints on the growth of firms. We interpret managers’ answers to survey questions on the extent to which various aspects of their external environment inhibit the performance of their firm as measuring the shadow cost of...
Persistent link: https://www.econbiz.de/10005124336
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Wages and Human Capital in the U.S. Financial Industry: 1909-2006
Philippon, Thomas; Reshef, Ariell - C.E.P.R. Discussion Papers - 2009
also shows that wages in finance were excessively high around 1930 and from the mid 1990s until 2006. For the recent period …
Persistent link: https://www.econbiz.de/10005000443
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A Stable International Monetary System Emerges: Bretton Woods, Reversed
Rose, Andrew K - C.E.P.R. Discussion Papers - 2006
volatility and less frequent “sudden stops” of capital flows than similar countries that do not target inflation. Inflation …
Persistent link: https://www.econbiz.de/10005497858
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Credit Rationing and Crowding-Out During the Industrial Revolution: Evidence from Hoare's Bank, 1702-1862
Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004
Crowding-out during the British Industrial Revolution has long been one of the leading explanations for slow growth during the Industrial Revolution, but little empirical evidence exists to support it. We argue that examinations of interest rates are fundamentally misguided, and that the...
Persistent link: https://www.econbiz.de/10005504267