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Stubbs, Eric; Gupta, Francis - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005134906

Agricultural Applications of Value-at-Risk Analysis: A Perspective

Manfredo, Mark R.; Leuthold, Raymond M. - EconWPA - 1998

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period …. This paper provides a "state-of-the-art" review of VaR estimation techniques and empirical findings found in the finance … literature. The ability of VaR estimates to represent large losses associated with tail events varies among procedure, confidence …

Persistent link: https://www.econbiz.de/10005076967

A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia

Schreiner, Mark - EconWPA - 2001

Can scoring models help microfinance lenders in poor countries as much as they have helped credit-card lenders in rich countries? I model the probability that loans from a microlender in Bolivia had arrears of 15 days or more. Although arrears in microfinance depend on many factors difficult to...

Persistent link: https://www.econbiz.de/10005118773

Scoring Drop-Out at a Microlender in Bolivia

Schreiner, Mark - EconWPA - 2001

This paper presents a scoring model that predicts the risk of drop-out for borrowers at a microfinance lender in Bolivia. Drop-out risk was greater for women, manufacturers, newer borrowers, and those with more arrears. Out-of-sample tests suggest that scoring may help microfinance lenders to...

Persistent link: https://www.econbiz.de/10005118802

Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy

Belviso, Francesco; Milani, Fabio - EconWPA - 2005

propose a novel Structural Factor-Augmented VAR (SFAVAR) model, where the factors have a clear meaning: 'Real Activity' factor …

Persistent link: https://www.econbiz.de/10005076826

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises.Portfolio managers...

Persistent link: https://www.econbiz.de/10005124892

Consumption Smoothing Channels in Open Economies

Asdrubali, Pierfederico; Kim, Soyoung - EconWPA - 2005

investments, inventories and trade balance). The estimation is conducted in a structural VAR framework, in which the minimal …

Persistent link: https://www.econbiz.de/10005125536

How do Currency Markets Interact? Evidence from the Yen-Dollar Exchange Rates in Tokyo, London, and New York

Chiou, Ingyu; Wagner, James Jordan-; Yu, Hai-Chin - EconWPA - 2005

This paper studies how one currency market affects another currency market in a different time zone, using various contracts of the opening and closing yen-dollar exchange rates traded in Tokyo, London, and New York. We find strong and consistent evidence that the three major currency markets...

Persistent link: https://www.econbiz.de/10005134727

Financial Integration and International Portfolio

Hedi, AROURI Mohamed El - EconWPA - 2003

smaller home markets. The impulse response functions from a VAR model comprised of the time-varying price of covariance risk …

Persistent link: https://www.econbiz.de/10005408146

Monetary Conditions and Stock Returns: A South African Case Study

Coetzee, Clive - EconWPA - 2002

Extensive research on the linkages between monetary conditions and stock returns has been conducted in developed countries. This is in sharp contrast to the situation in developing countries. This paper therefore aims to study the long believed asymmetrical relationship between changes in...

Persistent link: https://www.econbiz.de/10005413129