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Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version …
Persistent link: https://www.econbiz.de/10015324099
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …
Persistent link: https://www.econbiz.de/10011959298
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on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active …
Persistent link: https://www.econbiz.de/10013243812
model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …
Persistent link: https://www.econbiz.de/10012315434
on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012385032
on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012429187
model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …
Persistent link: https://www.econbiz.de/10013252235
sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …
Persistent link: https://www.econbiz.de/10011348706