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A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
Song, Zhaogang; Xiu, Dacheng - Federal Reserve Board (Board of Governors of the … - 2014
volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …
Persistent link: https://www.econbiz.de/10010886219
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QE Auctions of Treasury Bonds
Song, Zhaogang; Zhu, Haoxiang - Federal Reserve Board (Board of Governors of the … - 2014
The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its quantitative easing (QE) policy. In this paper, we study the outcomes of QE auctions and participating dealers' bidding behaviors from November 2010 to September 2011, during which...
Persistent link: https://www.econbiz.de/10010886228
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Generating Options-Implied Probability Densities to Understand Oil Market Events
Datta, Deepa Dhume; Londono, Juan M.; Ross, Landon J - Federal Reserve Board (Board of Governors of the … - 2014
We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil. Using a semiparametric variant of the methodology in Breeden and Litzenberger (1978), we investigate the fit and smoothness of distributions derived from alternative PDF...
Persistent link: https://www.econbiz.de/10011075152
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The Real Effects of Credit Line Drawdowns
Berrospide, Jose M.; Meisenzahl, Ralf R. - Federal Reserve Board (Board of Governors of the … - 2015
Do firms use credit line drawdowns to finance investment? Using a unique dataset of 467 COMPUSTAT firms with credit lines, we study the purpose of drawdowns during the 2007-2009 financial crisis. Our data show that credit line drawdowns had already increased in 2007, precisely when disruptions...
Persistent link: https://www.econbiz.de/10011273700
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Robust Dynamic Optimal Taxation and Environmental Externalities
Li, Xin; Narajabad, Borghan N.; Temzelides, Theodosios - Federal Reserve Board (Board of Governors of the … - 2014
We study a dynamic stochastic general equilibrium model in which agents are concerned about model uncertainty regarding climate change. An externality from greenhouse gas emissions damages the economy's capital stock. We assume that the mapping from climate change to damages is subject to...
Persistent link: https://www.econbiz.de/10010937973
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Securitization with recourse: an instrument that offers uninsured bank depositors sequential claims
Benveniste, Lawrence M.; Berger, Allen N. - Federal Reserve Board (Board of Governors of the … - 1987
Persistent link: https://www.econbiz.de/10005361181
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How consistent are credit ratings? a geographic and sectoral analysis of default risk
Ammer, John; Packer, Frank - Federal Reserve Board (Board of Governors of the … - 2000
We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S....
Persistent link: https://www.econbiz.de/10005368242
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On risk, rational expectations, and efficient asset markets
Stevens, Guy V.G.; Akbarian, Dara - Federal Reserve Board (Board of Governors of the … - 1994
portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …
Persistent link: https://www.econbiz.de/10005368265
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Pitfalls in tests for changes in correlations
Boyer, Brian H.; Gibson, Michael S.; Loretan, Mico - Federal Reserve Board (Board of Governors of the … - 1997
"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …
Persistent link: https://www.econbiz.de/10005368286
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Information systems for risk management
Gibson, Michael S. - Federal Reserve Board (Board of Governors of the … - 1997
Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …
Persistent link: https://www.econbiz.de/10005368299