Narrow search
Showing 1 - 10 of 8,233
Cover Image
Financial Risk Measurement for Financial Risk Management
Andersen, Torben G. - 2012
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10012460575
Cover Image
Bank Trading Risk and Systemic Risk
Jorion, Philippe - 2005
This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …
Persistent link: https://www.econbiz.de/10012467650
Cover Image
Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10012459206
Cover Image
Downside Risk
Ang, Andrew - 2005
place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …
Persistent link: https://www.econbiz.de/10012466847
Cover Image
A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy
Gray, Dale F. - 2006
, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset … their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk …
Persistent link: https://www.econbiz.de/10012466024
Cover Image
Measuring Uncertainty about Long-Run Prediction
Mueller, Ulrich - 2013
Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...
Persistent link: https://www.econbiz.de/10012459791
Cover Image
Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
Grossman, Sanford J. - 1981
The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that...
Persistent link: https://www.econbiz.de/10012478428
Cover Image
Measuring Margin
McDonald, Robert L. - 2013
Policy makers and market participants alike wish to understand the amount, economic significance, and concentration of derivatives trading activity. This paper suggests that systematic measuring and reporting of margin by market participants, disaggregated by asset class, would provide more...
Persistent link: https://www.econbiz.de/10012459937
Cover Image
Nonparametric Risk Management and Implied Risk Aversion
Ait-Sahalia, Yacine - 2000
Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …
Persistent link: https://www.econbiz.de/10012471198
Cover Image
Is Idiosyncratic Risk Quantitatively Significant?
Mehra, Rajnish - 2016
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …
Persistent link: https://www.econbiz.de/10012456657