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Adrian, Tobias (contributor); Shin, Hyun Song (contributor) - 2008

changes in financial market risk as measured by the innovations in the Chicago Board Options Exchange Volatility Index (VIX …

Persistent link: https://www.econbiz.de/10003781549

Liquidity and Leverage

Adrian, Tobias; Shin, Hyun Song - 2010

in financial market risk as measured by the innovations in the Chicago Board Options Exchange Volatility Index (VIX …

Persistent link: https://www.econbiz.de/10014217747

Managing macrofinancial risk

Adrian, Tobias; Vitek, Francis - 2020

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

Persistent link: https://www.econbiz.de/10012300643

800,000 Years of Climate Risk

Adrian, Tobias; Boyarchenko, Nina; Giannone, Domenico; … - 2022

that, even conditional on the net-zero 2050 scenario, there remains a significant risk of elevated temperatures for at …

Persistent link: https://www.econbiz.de/10014077252

Approaches to climate risk analysis in FSAPs

Adrian, Tobias; Grippa, Pierpaolo; Groß, Marco; … - 2022

Persistent link: https://www.econbiz.de/10013332813

The cost of capital of the financial sector

Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015

Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...

Persistent link: https://www.econbiz.de/10011410520