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Natural disaster insurance for sovereigns : issues, challenges and optimality

Cebotari, Aliona; Youssef, Karim - 2020

ex-ante preparedness is needed to manage the risks. The paper discusses sovereign experience with disaster insurance as a … key instrument to mitigate the risks; proposes ways to judge the adequacy of insurance; and considers ways to enhance its … use by vulnerable countries. The paper especially aims to inform policy decisions on disaster insurance. Through …

Persistent link: https://www.econbiz.de/10012170086

Bailouts and Systemic Insurance

Dell'Ariccia, Giovanni - 2013

invest prudently and so reduce bank risk taking. This systemic insurance effect will be relatively more important when …

Persistent link: https://www.econbiz.de/10014394541

Riding the yield curve : risk taking behavior in a low interest rate environment

Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...

Persistent link: https://www.econbiz.de/10012251301

Determinants of currency composition of reserves : a portfolio theory approach with an application to RMB

Lu, Yinqiu; Wang, Yilin - 2019

The way central banks manage their foreign reserve assets has evolved over the past decades. One major trend is managing reserves in two or more tranches-liquidity tranche and investment tranche-especially for those with adequate reserves. Incorporating reserve tranching, we have developed in...

Persistent link: https://www.econbiz.de/10012009483

Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk

Christoffersen, Peter F. - 1999

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...

Persistent link: https://www.econbiz.de/10014400299

Portfolio Diversification, Leverage, and Financial Contagion

Smith, T. Todd - 1999

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

Persistent link: https://www.econbiz.de/10014400415

Monetary Policy in an Equilibrium Portfolio Balance Model

Kumhof, Michael - 2007

Standard theory shows that sterilized foreign exchange interventions do not affect equilibrium prices and quantities …

Persistent link: https://www.econbiz.de/10014400445

Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies

Richards, Anthony J. - 1999

This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components of returns. This is the type of “hedged” position that is held by...

Persistent link: https://www.econbiz.de/10014400872

The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice

Matsumoto, Akito - 2007

This paper analyzes the role of nonseparable utility and nontradables in business cycles and portfolio choice. I find that nonseparability in utility can change the portfolio choice significantly. Unlike previous results in literature, the optimal portfolio of the traded-good sector equities is...

Persistent link: https://www.econbiz.de/10014400898

The Role of Stock Markets in Current Account Dynamics : Evidence From the United States

Mercereau, Benoît - 2003

This paper tests a model of the role of stock markets in current account dynamics, developed in a companion paper. With U.S. data, the model performs better than the same model without stock markets. An insight given by the model is that the current account might help predict future stock market...

Persistent link: https://www.econbiz.de/10014401280

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