Showing 1 - 10 of 56
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
This paper studies the effects of a path change in government debt composition and aggregate transfers on allocations and prices. It is shown that the effects are zero under some agent-specific transfer scheme even when markets are incomplete. If markets are complete, then the effects are zero...
Persistent link: https://www.econbiz.de/10005368245
perspective of state finance. Although the current fiscal crisis is severe, it becomes more difficult to assess unless one has a … finance. …
Persistent link: https://www.econbiz.de/10005352845
We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase appears in forward rates and derivative prices, which allows...
Persistent link: https://www.econbiz.de/10005352973
American women tend to be less financially literate than men, which is consistent with a household division of labor in which men manage finances. However, women also tend to outlive their husbands, so they will eventually need to take over this task. Using a new survey of older couples, I find...
Persistent link: https://www.econbiz.de/10009366960
Persistent link: https://www.econbiz.de/10010725277
Persistent link: https://www.econbiz.de/10010725352