Narrow search
Showing 1 - 10 of 137
Cover Image
Model Risk of Risk Models
Danielsson, Jon; James, Kevin; Valenzuela, Marcela; … - Federal Reserve Board (Board of Governors of the … - 2014
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...
Persistent link: https://www.econbiz.de/10010784179
Cover Image
An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis
O'Brien, James M.; Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2014
We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before … the financial crisis. Alternative benchmark VaR measures, including GARCH-based measures, are also estimated directly from … the banks' trading revenues and help to explain the bank VaR performance results. While highly conservative in the pre …
Persistent link: https://www.econbiz.de/10010784145
Cover Image
Risk management and its implications for systemic risk: testimony before the Subcommittee on Securities, Insurance, and Investment, Committee on Banking, Housing, and Urban Affairs...
Kohn, Donald L. - Federal Reserve Board (Board of Governors of the … - 2008
Persistent link: https://www.econbiz.de/10005420040
Cover Image
Credit derivatives: testimony before the Committee on Agriculture, U.S. House of Representatives, November 20, 2008
Parkinson, Patrick M. - Federal Reserve Board (Board of Governors of the … - 2008
Persistent link: https://www.econbiz.de/10005420050
Cover Image
An update on Basel II implementation in the United States: a speech at the Global Association of Risk Professionals Basel II Summit, New York, New York, February 26, 2007
Bies, Susan Schmidt - Federal Reserve Board (Board of Governors of the … - 2007
Persistent link: https://www.econbiz.de/10010725111
Cover Image
Risk transfer and financial stability : a speech to the Federal Reserve Bank of Chicago's Forty-first Annual Conference on Bank Structure, Chicago, Illinois (via satellite), May 5,...
Greenspan, Alan - Federal Reserve Board (Board of Governors of the … - 2005
Persistent link: https://www.econbiz.de/10010725137
Cover Image
Regulatory issues: a speech at the National Bankers Association Annual Convention, Beverly Hills, California, October 12, 2005
Bies, Susan Schmidt - Federal Reserve Board (Board of Governors of the … - 2005
Persistent link: https://www.econbiz.de/10010725168
Cover Image
The state of the banking industry: testimony before the Committee on Banking, Housing, and Urban Affairs, U.S. Senate, April 20, 2004
Greenspan, Alan - Federal Reserve Board (Board of Governors of the … - 2004
Persistent link: https://www.econbiz.de/10010725170
Cover Image
Compliance risk management in a diversified environment : a speech at the Financial Services Roundtable and the Morin Center for Banking and Financial Services, Washington, D.C., M...
Olson, Mark W. - Federal Reserve Board (Board of Governors of the … - 2006
Persistent link: https://www.econbiz.de/10010725173
Cover Image
Basel II and H.R. 2043: testimony before the Subcommittee on Financial Institutions and Consumer Credit, Committee on Financial Services, U.S. House of Representatives, June 19, 20...
Ferguson, Roger W. - Federal Reserve Board (Board of Governors of the … - 2003
Persistent link: https://www.econbiz.de/10010725174