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In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec lending) markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, and...
Persistent link: https://www.econbiz.de/10009421388
Remarks at Queens Chamber of Commerce and Queens Economic Development Corporation, Flushing, New York City.
Persistent link: https://www.econbiz.de/10010724943
Remarks at the Quarterly Regional Economic Press Briefing, New York City.
Persistent link: https://www.econbiz.de/10010724962
Remarks before the Bronx Chamber of Commerce at the New York Botanical Garden, Bronx, New York.
Persistent link: https://www.econbiz.de/10010724974
Remarks at Fordham University's Gabelli School of Business, Bronx, New York.
Persistent link: https://www.econbiz.de/10010724994