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the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …
Persistent link: https://www.econbiz.de/10013024363
management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for … use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio …, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests …
Persistent link: https://www.econbiz.de/10013316571
empirically show two main findings: first, risk-taking is positively related to the length of tax loss periods because the loss … rules shift some risk to the government; and second, the tax rate has a positive effect on risk-taking for firms that expect …
Persistent link: https://www.econbiz.de/10012950288
-Bernanke period only. Focusing on this period, the “risk-management” approach is found to be responsible for monetary policy easings …
Persistent link: https://www.econbiz.de/10012910624
This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We … consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate …
Persistent link: https://www.econbiz.de/10013118167
Banks play a critical role in international trade by providing trade finance products that reduce the risk of exporting …
Persistent link: https://www.econbiz.de/10013054021
We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation …
Persistent link: https://www.econbiz.de/10013055377
We present an experimental study on how people take risk on behalf of others. We use three different elicitation …. We find a weak tendency of lower risk-taking with others' money compared to own money. However, subjects believe that … other participants take more risk with other people's money than with their own. At the same time, subjects on average think …
Persistent link: https://www.econbiz.de/10012960097
Recent theoretical work in the economics of climate change has suggested that climate policy is highly sensitive to ‘fat-tailed’ risks of catastrophic outcomes (Weitzman, 2009b). Such risks are suggested to be an inevitable consequence of scientific uncertainty about the effects of increased...
Persistent link: https://www.econbiz.de/10013315705
In higher education, pure credit market funding leads to underinvestment due to insufficient risk pooling, while pure …
Persistent link: https://www.econbiz.de/10012997605