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Implications of Alternative Operational Risk Modeling Techniques

de Fontnouvelle, Patrick - 2005

variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical … regularities in operational loss data. Using loss data from six large internationally active banking institutions, we find that … loss data by event types are quite similar across institutions. Furthermore, our results are consistent with economic …

Persistent link: https://www.econbiz.de/10012467582

Asset Pricing with Endogenously Uninsurable Tail Risk

Ai, Hengjie - 2018

This paper studies asset pricing in a setting in which idiosyncratic risk in human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can commit to these contracts; furthermore, worker-firm relationships have endogenous durations owing...

Persistent link: https://www.econbiz.de/10012480625

Do Rare Events Explain CDX Tranche Spreads?

Seo, Sang Byung - 2016

We investigate whether a model with a time-varying probability of economic disaster can explain the pricing of collateralized debt obligations, both prior to and during the 2008-2009 financial crisis. Namely, we examine the pricing of tranches on the CDX, an index of credit default swaps on...

Persistent link: https://www.econbiz.de/10012455957

Solution Methods for Models with Rare Disasters

Fernández-Villaverde, Jesús - 2016

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the line of those proposed by Rietz (1988), Barro (2006}, Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...

Persistent link: https://www.econbiz.de/10012456676

Microeconomic Origins of Macroeconomic Tail Risks

Acemoglu, Daron - 2015

We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts "macroeconomic tail risks," that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...

Persistent link: https://www.econbiz.de/10012457801

Understanding Uncertainty Shocks and the Role of Black Swans

Orlik, Anna - 2014

A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...

Persistent link: https://www.econbiz.de/10012458223

Winning by Losing : Evidence on the Long-Run Effects of Mergers

Malmendier, Ulrike - 2012

Do acquirors profit from acquisitions, or do CEOs overbid and destroy shareholder value? We propose a novel approach to measuring the long-run returns to mergers. In a new data set of close bidding contests we use losers' post-merger performance to construct the counterfactual performance of...

Persistent link: https://www.econbiz.de/10012460635

The Effects of the Length of the Tax-Loss Carryback Period on Tax Receipts and Corporate Marginal Tax Rates

Graham, John R. - 2009

We investigate how the length of the net operating loss carryback period affects corporate liquidity and marginal tax … financial industries. Extending the carryback period would increase the marginal tax rate of loss firms by more than 200 basis …

Persistent link: https://www.econbiz.de/10012463472

What Happened To The Quants In August 2007? : Evidence from Factors and Transactions Data

Khandani, Amir E. - 2008

During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of...

Persistent link: https://www.econbiz.de/10012464182

Understanding U.S. Corporate Tax Losses

Altshuler, Rosanne - 2008

Recent data present a puzzle: the ratio of corporate tax losses to positive income was much higher around 2001 than in earlier recessions. Using a comprehensive 1982-2005 sample of U.S. corporation tax returns, we explore a variety of potential explanations for this surge in tax losses, taking...

Persistent link: https://www.econbiz.de/10012464242