, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk … value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at … which put option value starts to dominate charter value. From these estimates, we infer the extent to which the risk …

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk … exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently …

credibility. The inflation risk premium provides a correction to the break-even method of forecasting inflation and produces an …A measure of the credibility of monetary policy is the inflation risk premium in nominal yields. This will be time …. We estimate these risk premia using a generalized CIR affine-yield model, with one factor driving the real term structure …

countries. I construct a global return forecasting factor that is a GDP-weighted average of each country’s local return … forecasting factor and show that it has information not spanned by the traditional level, slope, curvature factors of the term … structure, or by the local return forecasting factors. Including the global forecasting factor in the model produces estimates …