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Caviar : Conditional Value at Risk by Quantile Regression

Manganelli, Simone; Engle, Robert F. - 2021

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

Persistent link: https://www.econbiz.de/10013218406

Optimal Asset Allocation in Asset Liability Management

Binsbergen, Jules H. van; Brandt, Michael W. - 2022

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as...

Persistent link: https://www.econbiz.de/10013405902

International Asset Allocation with Time-Varying Correlations

Bekaert, Geert - 2008

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

Persistent link: https://www.econbiz.de/10012774819

Investor Information, Long-Run Risk, and the Term Structure of Equity

Croce, Mariano (Max) Massimiliano - 2012

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...

Persistent link: https://www.econbiz.de/10012755422

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K. C. - 2010

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

Persistent link: https://www.econbiz.de/10012763801

Heterogeneity in Target-Date Funds : Optimal Risk-Taking or Risk Matching?

Balduzzi, Pierluigi - 2012

Following the Pension Protection Act of 2006, there was a sharp increase in the use of TDFs as default investment options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles, even for funds with the same target retirement date. Using...

Persistent link: https://www.econbiz.de/10013109863

Risks and Returns of Cryptocurrency

Liu, Yukun - 2018

We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors. They also have no exposure to the returns of...

Persistent link: https://www.econbiz.de/10012913389

Bank Trading Risk and Systemic Risk

Jorion, Philippe - 2010

post-1998 period has witnessed an increase in volatility of trading revenues …

Persistent link: https://www.econbiz.de/10012762521

Trading Complex Assets

Carlin, Bruce Ian - 2010

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity …. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency … complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and …

Persistent link: https://www.econbiz.de/10013141005

On the Network Topology of Variance Decompositions : Measuring the Connectedness of Financial Firms

Diebold, Francis X. - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10013119773