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Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup

Bec, Frédérique; Gollier, Christian - 2014

Persistent link: https://www.econbiz.de/10010415730

Term structure and cyclicity of value-at-risk : consequences for the solvency capital requirement

Bec, Frédérique; Gollier, Christian - 2009

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial … 2008Q3, it turns out that the k-year VaR of French equities is strongly dependent on the cycle phase: the expected losses … as measured by the VaR are twice smaller in recession times than expansion periods. These results strongly suggest that …

Persistent link: https://www.econbiz.de/10003824669

Cyclicality and term structure of value-at-risk in Europe

Bec, Frédérique; Gollier, Christian - 2009

Persistent link: https://www.econbiz.de/10003984611

Term Structure and Cyclicity of Value-at-Risk : Consequences for the Solvency Capital Requirement

Bec, Frederique; Gollier, Christian - 2021

Persistent link: https://www.econbiz.de/10013316387

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

Suppose that a group of agents having divergent expectations can share risks efficiently. We examine how this group should behave collectively to manage these risks. We show that the beliefs of the representative agent is in general a function of the group's wealth level, or equivalently, that...