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

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results …

volatility creates risks to service provision, possibly entailing sudden tax changes, or even requiring new borrowing. After … fiscal savings (reserves), and the impact alternate policy choices could have on revenue volatility …