Showing 1 - 10 of 3,825
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/10010498601
We measure the economic risk of epidemics at a geo-spatially detailed resolution. In addition to data about the …’s resilience (its ability of the recover rapidly from the shock). We find that the economic risk of epidemics is particularly high …
Persistent link: https://www.econbiz.de/10012156716
We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …
Persistent link: https://www.econbiz.de/10014336426
can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two … in each period. -- Consumption and labor taxation ; equivalence ; risk …
Persistent link: https://www.econbiz.de/10003820652
-probability extreme events on environmental policy in a continuous-time real options model with "tail risk". In a nutshell, our results … indicate the importance of tail risk and call for foresighted pre-emptive climate policies. -- climate policy ; extreme events …
Persistent link: https://www.econbiz.de/10003994530
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...
Persistent link: https://www.econbiz.de/10013419275
We develop a simple model of managing a system subject to pollution damage under risk of an abrupt and random jump in …
Persistent link: https://www.econbiz.de/10009489041
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation … ; extreme value theory ; bootstrapping …
Persistent link: https://www.econbiz.de/10003891679
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the …
Persistent link: https://www.econbiz.de/10011420698
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 …
Persistent link: https://www.econbiz.de/10011587888