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Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

See the article in The North American Journal of Economics and Finance (2013). Volume 26(C), pages 217-226. Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents...

Persistent link: https://www.econbiz.de/10011256871

Aggregating Credit and Market Risk: The Impact of Model Specification

Lucas, Andre; Verhoef, Bastiaan - Tinbergen Instituut - 2012

credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …

Persistent link: https://www.econbiz.de/10011256003

Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

Persistent link: https://www.econbiz.de/10011255734

Abnormal Returns, Risk, and Options in Large Data Sets

Caserta, Silvia; Danielsson, Jon; Vries, Casper G. de - Tinbergen Instituut - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011256054

Beyond the Sample: Extreme Quantile and Probability Estimation

Daníelsson, Jón; Vries, Casper G. de - Tinbergen Instituut - 1998

Economic problems such as large claims analysis in insurance and value-at-risk in finance, requireassessment of the probability P of extreme realizations Q. This paper provided a semi-parametricmethod for estimation of extreme (P, Q) combinations for data with heavy tails. We solve the...

Persistent link: https://www.econbiz.de/10011256331

Value-at-Risk and Extreme Returns

Daníelsson, Jón; Vries, Casper G. de - Tinbergen Instituut - 1998

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled … oflow probability worst outcomes, RiskMetrics analysis underpredicts the VaR while historical simulationoverpredicts the VaR …. However, the estimates obtained from applying the semi-parametric method aremore accurate in the VaR prediction. In addition …

Persistent link: https://www.econbiz.de/10011257005

Tail Behavior of Credit Loss Distributions for General Latent Factor Models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - Tinbergen Instituut - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

Persistent link: https://www.econbiz.de/10011257011

Short-Selling, Leverage and Systemic Risk

Pais, Amelia; Stork, Philip A. - Tinbergen Instituut - 2013

During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that “bear raids”, driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions...

Persistent link: https://www.econbiz.de/10011257043

Corporate Social Responsibility, Negative Externalities, and Financial Risk: The Case of Climate Change

Busch, Timo; Lehmann, Nils; Hoffmann, Volker H. - Tinbergen Instituut - 2012

Certain types of corporate social responsibility (CSR) activities can generate an ‘insurance-like’ benefit for firms (Godfrey, 2005). Thus far, this risk management hypothesis has been verified for the effects of firm-specific negative events. We argue that this insurance-like benefit of...

Persistent link: https://www.econbiz.de/10011256908

Privatization, Political Risk and Stock Market Development in Emerging Economies

Perotti, Enrico C.; Oijen, Pieter van - Tinbergen Instituut - 1999

This paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatization program represents a major political test that gradually resolves uncertainty...

Persistent link: https://www.econbiz.de/10011255862