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How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the...
Persistent link: https://www.econbiz.de/10011587888
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...
Persistent link: https://www.econbiz.de/10009230899
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Market risk management in a Post-Basel II regulatory environment
Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016
relatively low market volatility may have unintended consequences for banks' risk exposure. …
Persistent link: https://www.econbiz.de/10011587953
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The impact of creditor protection on stock prices in the presence of liquidity crises : theory and cross-country evidence
Hale, Galina; Razin, Asaf; Tong, Hui - 2012
is correlated across countries with lower average stock market volatility, crises are more frequent in countries with … investment fall by more in countries with poor creditor protection. -- liquidity crisis ; creditor protection ; stock volatility …
Persistent link: https://www.econbiz.de/10009514779
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741
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Volatility of exchange rates in selected new EU members : evidence from daily data
Fidrmuc, Jarko (contributor); Horváth, Roman (contributor) - 2007
Persistent link: https://www.econbiz.de/10003599482
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Tracing the genesis of contagion in the oil-finance nexus
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these...
Persistent link: https://www.econbiz.de/10012120201
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Macroeconomic policy and development in India : some analytical issues
Sen, Partha - 2022
Persistent link: https://www.econbiz.de/10013473920
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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...
Persistent link: https://www.econbiz.de/10013417581
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10003983199